This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …

suitability of the model, highlighting the presence of both mean and volatility (size) asymmetry; while the model is favoured over …

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

volatility of individual stock returns and exchange rate returns. …

volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more … informative price interval data and building interval regression models for volatility forecasting. To characterize the … heterogeneity of the market and the nonlinearity of volatility, we incorporated the heterogeneous autoregressive structure and the …