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The VAR-VARCH model: A Bayesian approach

In: Modelling and Prediction Honoring Seymour Geisser

Author

Listed:
  • Wolfgang Polasek

    (University of Basel, Institute for Statistics and Econometrics)

  • Hideo Kozumi

    (Hokkaido University, Faculty of Economics & Business Administration
    Hokkaido University, Faculty of Economics & Business Administration)

Abstract

In this paper, we develop a combined Bayesian vector autoregressive and conditional heteroskedasticity (VAR-VARCH) models. A Gibbs sampling approach is suggested for the univariate and multivariate VAR-VARCH model. Using a random coefficient formulation it is shown that full conditional distributions are derived in closed analytical forms. The method is applied to monthly exchange rate series, the Swiss Franc, and the Deutsch Mark to the U.S. Dollar.

Suggested Citation

  • Wolfgang Polasek & Hideo Kozumi, 1996. "The VAR-VARCH model: A Bayesian approach," Springer Books, in: Jack C. Lee & Wesley O. Johnson & Arnold Zellner (ed.), Modelling and Prediction Honoring Seymour Geisser, pages 402-413, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-2414-3_26
    DOI: 10.1007/978-1-4612-2414-3_26
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