A Bayesian MCMC Algorithm for Markov Switching GARCH models
Dhiman Das () and
Byoung Hark Yoo ()
No 451, Econometric Society 2004 Far Eastern Meetings from Econometric Society
Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial time series such as strong persistence of conditional variance. However, Maximum Likelihood Estimation faces a implementation problem since the conditional variance depends on all the past history of state. This paper shows that this problem can be handled easily in Bayesian inference. A new Markov Chain Monte Carlo algorithm is introduced and proves to work well in a numerical example.
Keywords: Bayesian Analysis; GARCH; Markov Switching. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
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Working Paper: A Bayesian MCMC Algorithm for Markov Switching GARCH models (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:451
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