Bayesian Non-Parametric Mixtures of GARCH(1,1)‎ Models

المؤلفون المشاركون

Cripps, Ed
Lau, John W.

المصدر

Journal of Probability and Statistics

العدد

المجلد 2012، العدد 2012 (31 ديسمبر/كانون الأول 2012)، ص ص. 1-16، 16ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2012-07-16

دولة النشر

مصر

عدد الصفحات

16

التخصصات الرئيسية

الرياضيات

الملخص EN

Traditional GARCH models describe volatility levels that evolve smoothly over time, generated by a single GARCH regime.

However, nonstationary time series data may exhibit abrupt changes in volatility, suggesting changes in the underlying GARCH regimes.

Further, the number and times of regime changes are not always obvious.

This article outlines a nonparametric mixture of GARCH models that is able to estimate the number and time of volatility regime changes by mixing over the Poisson-Kingman process.

The process is a generalisation of the Dirichlet process typically used in nonparametric models for time-dependent data provides a richer clustering structure, and its application to time series data is novel.

Inference is Bayesian, and a Markov chain Monte Carlo algorithm to explore the posterior distribution is described.

The methodology is illustrated on the Standard and Poor's 500 financial index.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Lau, John W.& Cripps, Ed. 2012. Bayesian Non-Parametric Mixtures of GARCH(1,1) Models. Journal of Probability and Statistics،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-451224

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Lau, John W.& Cripps, Ed. Bayesian Non-Parametric Mixtures of GARCH(1,1) Models. Journal of Probability and Statistics No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-451224

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Lau, John W.& Cripps, Ed. Bayesian Non-Parametric Mixtures of GARCH(1,1) Models. Journal of Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-451224

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-451224