Bayesian estimation of GARCH model by hybrid Monte Carlo

Tetsuya Takaishi

Papers from arXiv.org

Abstract: The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all parameters at once. We demonstrate that how the HMC reproduces the GARCH parameters correctly. The algorithm is rather general and it can be applied to other models like stochastic volatility models.

Date: 2007-02
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Citations: View citations in EconPapers (2)

Published in Proceedings of the 9th Joint Conference on Information Sciences 2006, CIEF-214

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0702240

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