JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
Articles
Comparison of MCMC Methods for Estimating GARCH Models
Manabu Asai
Author information
JOURNAL FREE ACCESS

2006 Volume 36 Issue 2 Pages 199-212

Details
Abstract

This paper reviews several MCMC methods for estimating the class of ARCH models, and compare performances of them. With respect to the mixing, efficiency and computational requirement of the MCMC, this paper found the best method is the tailored approach based on the acceptance-rejection Metropolis-Hastings algorithm.

Content from these authors
© 2006 Japan Statistical Society
Previous article Next article
feedback
Top