Bayesian inference for the mixed conditional heteroskedasticity model
(2007) The Econometrics Journal — Vol. 10, n° 2, p. 408-425 (2007)
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- Authors
Bauwens, Luc 
- Abstract
- We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We apply the model to the SP500 daily returns.
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Citations
Bauwens, L., & Rombouts, J. (2007). Bayesian inference for the mixed conditional heteroskedasticity model. The Econometrics Journal, 10(2), 408-425. https://doi.org/10.1111/j.1368-423X.2007.00213.x (Original work published 2007)