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Bayesian inference for the mixed conditional heteroskedasticity model

We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik, and Paolella 2004a). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We apply the model to the SP500 daily returns.

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File URL: http://www.hec.ca/iea/cahiers/2006/iea0607_jrombouts.pdf
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Paper provided by HEC Montréal, Institut d'économie appliquée in its series Cahiers de recherche with number 06-07.

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Length: 26 pages
Date of creation: Jun 2006
Date of revision:
Handle: RePEc:iea:carech:0607
Contact details of provider: Postal: Institut d'économie appliquée HEC Montréal 3000, Chemin de la Côte-Sainte-Catherine Montréal, Québec H3T 2A7
Phone: (514) 340-6463
Fax: (514) 340-6469
Web page: http://www.hec.ca/iea/Email:


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Order Information: Postal: Institut d'économie appliquée HEC Montréal 3000, Chemin de la Côte-Sainte-Catherine Montréal, Québec H3T 2A7
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  1. BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D., . "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," CORE Discussion Papers RP -1731, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  3. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139, March.
  4. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002. "Mixed normal conditional heteroskedasticity," CFS Working Paper Series 2002/10, Center for Financial Studies (CFS).
  5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  6. Marin, Jean-Michel & Mengersen, Kerrie & Robert, Christian P., 2005. "Bayesian Modelling and Inference on Mixtures of Distributions," Economics Papers from University Paris Dauphine 123456789/6069, Paris Dauphine University.
  7. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
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