Bayes Factors for Bivariate GARCH and SV Models

Jacek Osiewalski (), Anna Pajor and Mateusz Pipień
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Jacek Osiewalski: Cracow University of Economics, Poland

Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 15-35 from University of Lodz

Abstract: Chapter 1 presents the Bayesian approach to assessing the relative explanatory power of multivariate GARCH and Stochastic Variance (SV) models. It has been shown that the formal Bayesian model comparison is feasible when comparing even unparsimonious bivariate specifications from GARCH and SV classes. The empirical findings should not be generalized but they clearly illustrate high distributional flexibility of MSV models in explaining outliers in exchange rate time series.

Keywords: Financial analysis; GARCH model; Stochastic models; Bayesian models; Bayes factor (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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