Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model
Joint Authors
Anyfantaki, Sofia
Demos, Antonis
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-39, 39 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-09-22
Country of Publication
Egypt
No. of Pages
39
Main Subjects
Abstract EN
Time-varying GARCH-M models are commonly used in econometrics and financial economics.
Yet the recursive nature of the conditional variance makes exact likelihood analysis of these models computationally infeasible.
This paper outlines the issues and suggests to employ a Markov chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a simulated Bayesian solution in only OT computational operations, where T is the sample size.
Furthermore, the theoretical dynamic properties of a time-varying GQARCH(1,1)-M are derived.
We discuss them and apply the suggested Bayesian estimation to three major stock markets.
American Psychological Association (APA)
Anyfantaki, Sofia& Demos, Antonis. 2011. Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-39.
https://search.emarefa.net/detail/BIM-493094
Modern Language Association (MLA)
Anyfantaki, Sofia& Demos, Antonis. Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model. Journal of Probability and Statistics No. 2011 (2011), pp.1-39.
https://search.emarefa.net/detail/BIM-493094
American Medical Association (AMA)
Anyfantaki, Sofia& Demos, Antonis. Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-39.
https://search.emarefa.net/detail/BIM-493094
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-493094