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Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme

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  • Tetsuya Takaishi

Abstract

We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics. In the adaptive construction scheme a proposal density in the Metropolis-Hastings algorithm is constructed adaptively by changing the parameters of the density to fit the posterior density. Using artificial QGARCH data we infer the QGARCH parameters by applying the adaptive construction scheme to the Bayesian inference of QGARCH model. We find that the adaptive construction scheme samples QGARCH parameters effectively, i.e. correlations between the sampled data are very small. We conclude that the adaptive construction scheme is an efficient method to the Bayesian estimation of the QGARCH model.

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  • Tetsuya Takaishi, 2009. "Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme," Papers 0907.5276, arXiv.org.
    • Handle: RePEc:arx:papers:0907.5276
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    References listed on IDEAS

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    1. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    2. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
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    Cited by:

    1. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
    2. Tetsuya Takaishi, 2014. "Analysis of Spin Financial Market by GARCH Model," Papers 1409.0118, arXiv.org.
    3. Ting Ting Chen & Tetsuya Takaishi, 2013. "Empirical Study of the GARCH model with Rational Errors," Papers 1312.7057, arXiv.org.
    4. Tetsuya Takaishi, 2009. "Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme," Papers 0909.1478, arXiv.org.
    5. Takaishi, Tetsuya, 2017. "Rational GARCH model: An empirical test for stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 451-460.
    6. Tetsuya Takaishi, 2013. "Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm," Papers 1305.3184, arXiv.org.

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