Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme

نویسنده

  • Tetsuya Takaishi
چکیده

We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the construction of the proposal density in the Metropolis-Hastings algorithm and the parameters of the proposal density are determined adaptively by using the data sampled by the Markov chain Monte Carlo simulation. We study the performance of the scheme with the artificial GJRGARCH data. We find that the adaptive construction scheme samples GJR-GARCH parameters effectively and conclude that the MetropolisHastings algorithm with the adaptive construction scheme is an efficient method to the Bayesian inference of the GJR-GARCH model.

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تاریخ انتشار 2009