Bayesian estimation of GARCH model with an adaptive proposal density

  title={Bayesian estimation of GARCH model with an adaptive proposal density},
  author={Tetsuya Takaishi},
  journal={arXiv: Statistical Finance},
  • T. Takaishi
  • Published 29 December 2010
  • Business
  • arXiv: Statistical Finance
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In the adaptive construction scheme the proposal density is assumed to take a form of a multivariate Student's t-distribution and its parameters are evaluated by using the sampled data and updated adaptively during Markov Chain Monte Carlo simulations. We find that the autocorrelation times between… 

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