Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme

Details Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme

2009-07-30

arxiv.org/abs/0907.5276v1

Eighth IEEE/ACIS International Conference on Computer and Information Science, (ICIS2009) 525-529

Economy

Quantitative Finance

Computational Finance

ICIS2009

Scientific paper

10.1109/ICIS.2009.173

We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics. In the adaptive construction scheme a proposal density in the Metropolis-Hastings algorithm is constructed adaptively by changing the parameters of the density to fit the posterior density. Using artificial QGARCH data we infer the QGARCH parameters by applying the adaptive construction scheme to the Bayesian inference of QGARCH model. We find that the adaptive construction scheme samples QGARCH parameters effectively, i.e. correlations between the sampled data are very small. We conclude that the adaptive construction scheme is an efficient method to the Bayesian estimation of the QGARCH model.

Affiliated with

Also associated with

No associations

Rating

Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-468773