Bayesian Non-Parametric Mixtures of GARCH(1,1) Models
نویسندگان
چکیده
منابع مشابه
Bayesian Non-Parametric Mixtures of GARCH(1,1) Models
Traditional GARCH models describe volatility levels that evolve smoothly over time, generated by a single GARCH regime. However, nonstationary time series data may exhibit abrupt changes in volatility, suggesting changes in the underlying GARCH regimes. Further, the number and times of regime changes are not always obvious. This article outlines a nonparametric mixture of GARCH models that is a...
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ژورنال
عنوان ژورنال: Journal of Probability and Statistics
سال: 2012
ISSN: 1687-952X,1687-9538
DOI: 10.1155/2012/167431