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An application of three bivariate time‐varying volatility models

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  • I. D. Vrontos
  • S. G. Giakoumatos
  • P. Dellaportas
  • D. N. Politis

Abstract

The multivariate time‐varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH–GARCH models and a bivariate unobserved ARCH model to a series of exchange rates, and we estimate the parameters using Bayesian inference. We compare these models using a posterior predictive model diagnostic. Copyright © 2001 John Wiley & Sons, Ltd.

Suggested Citation

  • I. D. Vrontos & S. G. Giakoumatos & P. Dellaportas & D. N. Politis, 2001. "An application of three bivariate time‐varying volatility models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 17(1), pages 121-133, January.
    • Handle: RePEc:wly:apsmbi:v:17:y:2001:i:1:p:121-133
    DOI: 10.1002/asmb.431
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