Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation

DOI10.1007/978-3-030-54108-8_14OpenAlexW3132482434MaRDI QIDQ5049444

Lawrence Diteboho Xaba, Lebotsa Daniel Metsileng, Ntebogang Dinah Moroke

Publication date: 11 November 2022

Published in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-54108-8_14

zbMATH Keywords

maximum likelihood estimationDiebold-Mariano testBayesian Markov chain Monte Carlo (MCMC)error metricesnonlinear GARCH model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Stochastic variational inference for GARCH models

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