• Corpus ID: 116962994

Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions

@article{Pipie2006BayesianCO,
  title={Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions},
  author={Mateusz Pipień},
  journal={arXiv: Data Analysis, Statistics and Probability},
  year={2006}
}
  • M. Pipień
  • Published 29 June 2006
  • Computer Science
  • 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… 
2 Citations

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