Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility

Alejandro Villagran and Gabriel Huerta

A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 277-296 from Emerald Group Publishing Limited

Abstract: The problem of model mixing in time series, for which the interest lies in the estimation of stochastic volatility, is addressed using the approach known as Mixture-of-Experts (ME). Specifically, this work proposes a ME model where the experts are defined through ARCH, GARCH and EGARCH structures. Estimates of the predictive distribution of volatilities are obtained using a full Bayesian approach. The methodology is illustrated with an analysis of a section of US dollar/German mark exchange rates and a study of the Mexican stock market index using the Dow Jones Industrial index as a covariate.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(05)20030-0

DOI: 10.1016/S0731-9053(05)20030-0

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