• Mathematics, Physics
  • Published 2006

Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions

@inproceedings{Pipie2006BayesianCO,
  title={Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions},
  author={Mateusz Pipień},
  year={2006}
}
The main goal of this paper is an application of Bayesian model comparison, based on the posterior probabilities and posterior odds ratios, in testing the explanatory power of the set of competing GARCH (ang. Generalised Autoregressive Conditionally Heteroscedastic) specifications, all with asymmetric and heavy tailed conditional distributions. In building competing volatility models we consider, as an initial specification, GARCH process with conditional Student-t distribution with unknown… CONTINUE READING