Chigira, Hiroaki; Shiba, Tsunemasa - Institute of Economic Research, Hitotsubashi University - 2007
, informative prior pdf’s,
MCMC, stock return variance
∗
This research is supported in part by the Ministry of Education and Culture … the volatility process
such as the GARCH model, since we use information obtained from the
HCCM estimation, in our MCMC … posterior pdf
is derived. Section 3 starts out with our Bayesian MCMC calculation by a
Gibbs sampler. We propose to use the …