Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach

Computational Economics - Tập 50 - Trang 353-372 - 2016
Qiang Xia1, Heung Wong2, Jinshan Liu1, Rubing Liang1
1College of Mathematics and Informatics, South China Agricultural University, Guangzhou, China
2Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong,China

Tóm tắt

In this paper, we propose a Griddy-Gibbs sampler approach to estimate parameters and forecast volatilities for the power transformed and threshold GARCH (PTTGARCH; Pan et al. in J Econ 142:352–378, 2008) model, which includes the standard GARCH model and many other commonly used models as special cases. Simulation study indicates that the Bayesian scheme performs effectively in estimation and prediction. A real data example is presented to support our proposed Bayesian method.

Tài liệu tham khảo

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