Corpus ID: 116962994

Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions

  title={Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions},
  author={M. Pipień},
  journal={arXiv: Data Analysis, Statistics and Probability},
  • M. Pipień
  • Published 2006
  • Economics, Physics, Mathematics
  • arXiv: Data Analysis, Statistics and Probability
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… Expand
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