Modelos GARCH Bayesianos: Métodos Aproximados e Aplicações

Helio S. Migon and Josmar Mazucheli

Brazilian Review of Econometrics, 1999, vol. 19, issue 1

Abstract: The class of GARCH models is briefly revised and those models reformulated as dynamic Bayesian models. Gaussian quadrature technique and Laplace approximation are used to estimate both static and dynamic GARCH models of moderate dimension. The implemented algorithms are validated using artificially generated data. Four real return time series were analized and the performance of the different models and estimation methods accessed through their predictive capability and, also, comparing the non-observed volatilities with the square af the returns, its natural proxy.

Date: 1999
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