The VAR-VARCH model: A Bayesian approach

Wolfgang Polasek and Hideo Kozumi
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Hideo Kozumi: Hokkaido University, Faculty of Economics & Business Administration

A chapter in Modelling and Prediction Honoring Seymour Geisser, 1996, pp 402-413 from Springer

Abstract: Abstract In this paper, we develop a combined Bayesian vector autoregressive and conditional heteroskedasticity (VAR-VARCH) models. A Gibbs sampling approach is suggested for the univariate and multivariate VAR-VARCH model. Using a random coefficient formulation it is shown that full conditional distributions are derived in closed analytical forms. The method is applied to monthly exchange rate series, the Swiss Franc, and the Deutsch Mark to the U.S. Dollar.

Keywords: exchange rates; full conditional distributions; Gibbs sampling; random coefficients; VAR-VARCH models. (search for similar items in EconPapers)
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-2414-3_26

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DOI: 10.1007/978-1-4612-2414-3_26

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