Bayesian estimation of the Gaussian mixture GARCH model
نویسندگان
چکیده
منابع مشابه
Bayesian estimation of the Gaussian mixture GARCH model
Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions is performed. The mixture GARCH model can capture the patterns usually exhibited by many financial time series such as volatility clustering, large kurtosis and extreme observations. A Griddy-Gibbs sampler implementation is proposed for parameter estimation and...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2007
ISSN: 0167-9473
DOI: 10.1016/j.csda.2006.01.006