An Adaptive Markov Chain Monte Carlo Method for GARCH Model
AbstractWe propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the MCMC metho d itself. It turns out that autocorrelations between the data generated with our adaptive proposal density are greatly reduced. Thus it is concluded that the adaptive construction method is very efficient and works well for the MCMC simulations of the GARCH model.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0901.0992.
Date of creation: Jan 2009
Date of revision:
Publication status: Published in Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering. Complex Sciences, vol. 5 (2009) 1424-1434
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
- NEP-ORE-2009-09-26 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
- Sangjoon Kim & Neil Shephard, 1994.
"Stochastic volatility: likelihood inference and comparison with ARCH models,"
3., Economics Group, Nuffield College, University of Oxford.
- Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Luc Bauwens & Michel Lubrano, 1998.
"Bayesian inference on GARCH models using the Gibbs sampler,"
Royal Economic Society, vol. 1(Conferenc), pages C23-C46.
- BAUWENs, Luc & LUBRANO , Michel, 1996. "Bayesian Inference on GARCH Models using the Gibbs Sampler," CORE Discussion Papers 1996027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M. 96a21, Universite Aix-Marseille III.
- Bauwens, L. & Lubrano, M., . "Bayesian inference on GARCH models using the Gibbs sampler," CORE Discussion Papers RP -1307, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Taisei Kaizoji & Stefan Bornholdt & Yoshi Fujiwara, 2002.
"Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents,"
- Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
- K. Sznajd-Weron & R. Weron, 2000. "A simple model of price formation," Papers cond-mat/0101001, arXiv.org, revised Nov 2001.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Tetsuya Takaishi, 2005. "Simulations of financial markets in a Potts-like model," Papers cond-mat/0503156, arXiv.org.
- Ting Ting Chen & Tetsuya Takaishi, 2013. "Empirical Study of the GARCH model with Rational Errors," Papers 1312.7057, arXiv.org.
- Tetsuya Takaishi, 2013. "Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm," Papers 1305.3184, arXiv.org.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.