Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates

Three Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are judged by the posterior probabilities of stationarity and other conditions. Copyright Kluwer Academic Publishers 1999

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Year of publication:	1999
Authors:	Nakatsuma, Teruo ; Tsurumi, Hiroki
Published in:	Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 6.1999, 1, p. 71-84
Publisher:	Springer
Subject:	GARCH \| foreign exchange rate \| Bayesian inference

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005547714