Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

DOI10.1111/j.1368-423X.2008.00253.xzbMath1190.62155OpenAlexW2169031796MaRDI QIDQ3566441

David Ardia

Publication date: 8 June 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00253.x

zbMATH Keywords

asymmetryGARCHthresholdBayesianMarkov-switchingSMI

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (14)

Asymmetric Volatility Models with Structural Breaks ⋮ Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation ⋮ Markov switch smooth transition HYGARCH model: Stability and estimation ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Long memory and regime switching in the stochastic volatility modelling ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ Estimation and properties of a time-varying GQARCH(1,1)-M model ⋮ Bayesian estimation of an extended local scale stochastic volatility model ⋮ Unnamed Item ⋮ Value-at-risk via mixture distributions reconsidered ⋮ Markov switching asymmetric GARCH model: stability and forecasting ⋮ A nesting framework for Markov-switching GARCH modelling with an application to the German stock market

Uses Software

• R
• tsbridge

Cites Work

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