Bayesian analysis of the unobserved ARCH model
نویسندگان
چکیده
The Unobserved ARCH model is a good description of the phenomenon of changing volatility that is commonly appeared in the financial time series. We study this model adopting Bayesian inference via Markov Chain Monte Carlo (MCMC). In order to provide an easy to implement MCMC algorithm we adopt some suitable non-linear transformations of the parameter space such that the resulting MCMC algorithm is based only on Gibbs sampling steps. We illustrate our methodology with data from real world. The Unobserved ARCH is shown to be a good description of the exchange rate movements. Numerical comparisons between competing MCMC algorithms are also presented. 11 12 13 14 15 16 17
منابع مشابه
Bayesian Estimation of Change-Point in Unobserved-ARCH Models
Change-point problem deals with sudden change in the distribution of a set of given data. Change in financial time series is a common event, because many factors for example some news, etc. may affect the series and cause change. In this work, we intend to detect the time of change-point, using Bayesian methods in Unobserved-ARCH models. We estimate the model and the time of the change-point.
متن کاملBayesian Prediction of future observation based on doubly censored data under exponential distribution
In many experiments about lifetime examination, we will faced on restrictions of time and sample size, which this factors cause that the researcher can’t access to all of data. Therefore, it is valuable to study prediction of unobserved values based on information of available data. in this paper we have studied the prediction of unobserved values in two status of one-sample and two-sample, whe...
متن کاملRisk Analysis of Operating Room Using the Fuzzy Bayesian Network Model
To enhance Patient’s safety, we need effective methods for risk management. This work aims to propose an integrated approach to risk management for a hospital system. To improve patient’s safety, we should develop flexible methods where different aspects of risk and type of information are taken into consideration. This paper proposes a fuzzy Bayesian network to model and analyze risk in the op...
متن کاملImproving envelopment in data envelopment analysis by means of unobserved DMUs: an application of banking industry
In data envelopment analysis, the relative efficiency of a decision making unit (DMU) is defined as the ratio of the sum of its weighted outputs to the sum of its weighted inputs allowing the DMUs to freely allocate weights to their inputs/outputs. However, this measure may not reflect a the true efficiency of a DMU because some of its inputs/outputs may not contribute reasonably in computing t...
متن کاملA Bayesian Networks Approach to Reliability Analysis of a Launch Vehicle Liquid Propellant Engine
This paper presents an extension of Bayesian networks (BN) applied to reliability analysis of an open gas generator cycle Liquid propellant engine (OGLE) of launch vehicles. There are several methods for system reliability analysis such as RBD, FTA, FMEA, Markov Chains, and etc. But for complex systems such as LV, they are not all efficiently applicable due to failure dependencies between compo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Statistics and Computing
دوره 15 شماره
صفحات -
تاریخ انتشار 2005