Abstract
Three Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are judged by the posterior probabilities of stationarity and other conditions.
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Nakatsuma, T., Tsurumi, H. Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates. Asia-Pacific Financial Markets 6, 71–84 (1999). https://doi.org/10.1023/A:1010058509622
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DOI: https://doi.org/10.1023/A:1010058509622