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Random coefficient mixture (RCM) GARCH models

โœ Scribed by A. Thavaneswaran; S.S. Appadoo; J. Singh

Book ID
104045263
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
750 KB
Volume
42
Category
Article
ISSN
0895-7177

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## Abstract This paper proposes a new mixture GARCH model with a dynamic mixture proportion. The mixture Gaussian distribution of the error can vary from time to time. The Bayesian Information Criterion and the EM algorithm are used to estimate the number of parameters as well as the model paramete