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Full Bayesian Inference for GARCH and EGARCH Models

✍ Scribed by I. D. Vrontos, P. Dellaportas and D. N. Politis

Book ID: 120038992
Publisher: American Statistical Association
Year: 2000
Tongue: English
Weight: 631 KB
Volume: 18
Category: Article
ISSN: 0735-0015
DOI: 10.2307/1392556

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## Abstract Multivariate time‐varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical te