Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models

DOI10.1007/BF02925760zbMath0966.62066MaRDI QIDQ1591488

Eva-Maria Fronk, Hans Boscher, Iris Pigeot-Kübler

Publication date: 17 August 2001

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityMarkov chain Monte CarloGARCHswap rates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations ⋮ Bayesian estimation of the stochastic volatility model with double exponential jumps

Cites Work

• Bayesian computation and stochastic systems. With comments and reply.
• Generalized autoregressive conditional heteroscedasticity
• Markov chains for exploring posterior distributions. (With discussion)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications
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