Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates
AbstractThree Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are judged by the posterior probabilities of stationarity and other conditions. Copyright Kluwer Academic Publishers 1999
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 6 (1999)
Issue (Month): 1 (January)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
GARCH; foreign exchange rate; Bayesian inference;
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