Bayesian estimation of GARCH model with an adaptive proposal density

Tetsuya Takaishi

Papers from arXiv.org

Abstract: A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In the adaptive construction scheme the proposal density is assumed to take a form of a multivariate Student's t-distribution and its parameters are evaluated by using the sampled data and updated adaptively during Markov Chain Monte Carlo simulations. We find that the autocorrelation times between the data sampled by the adaptive construction scheme are considerably reduced. We conclude that the adaptive construction scheme works efficiently for the Bayesian inference of the GARCH model.

Date: 2010-12, Revised 2010-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in New Advances in Intelligent Decision Technologies, SCI 199, (2009) pp. 635-643

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1012.5986

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