Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates

Teruo Nakatsuma and Hiroki Tsurumi ()

Asia-Pacific Financial Markets, 1999, vol. 6, issue 1, 84 pages

Abstract: Three Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are judged by the posterior probabilities of stationarity and other conditions. Copyright Kluwer Academic Publishers 1999

Keywords: GARCH; foreign exchange rate; Bayesian inference (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1023/A:1010058509622 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:6:y:1999:i:1:p:71-84

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1023/A:1010058509622

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().