A Bayesian MCMC Algorithm for Markov Switching GARCH models
AbstractMarkov switching GARCH models have been developed in order to address the statistical regularity observed in financial time series such as strong persistence of conditional variance. However, Maximum Likelihood Estimation faces a implementation problem since the conditional variance depends on all the past history of state. This paper shows that this problem can be handled easily in Bayesian inference. A new Markov Chain Monte Carlo algorithm is introduced and proves to work well in a numerical example.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 179.
Date of creation: 11 Aug 2004
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Markov Switching; GARCH; Bayesian;
Other versions of this item:
- Dhiman Das & B.Hark Yoo, 2004. "A Bayesian MCMC Algorithm for Markov Switching GARCH models," Econometric Society 2004 Far Eastern Meetings 451, Econometric Society.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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- Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007.
"Theory and inference for a Markov switching GARCH model,"
Discussion Papers (ECON - DÃ©partement des Sciences Economiques)
2007033, Université catholique de Louvain, Département des Sciences Economiques.
- Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010. "Theory and inference for a Markov switching GARCH model," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 218-244, 07.
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and Inference for a Markov-Switching GARCH Model," Cahiers de recherche 0733, CIRPEE.
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée.
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007. "Theory and inference for a Markov switching GARCH model," CORE Discussion Papers 2007055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, . "Theory and inference for a Markov switching Garch model," CORE Discussion Papers RP -2303, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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