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Stable mixture GARCH models

โœ Scribed by Broda, Simon A.; Haas, Markus; Krause, Jochen; Paolella, Marc S.; Steude, Sven C.

Book ID
118200432
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
473 KB
Volume
172
Category
Article
ISSN
0304-4076

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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