- Author
- Osiewalski Jacek, Pipień Mateusz
- Title
- Multivariate t - GARCH Processes : Bayesian Forecasting of Exchanges Rates
- Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2001, nr 919, s. 187-196, bibliogr. 11 poz.
- Issue title
- Prognozowanie w zarządzaniu firmą
- Keyword
- Kurs walutowy, Model GARCH, Modele bayesowskie
Exchange rates, GARCH model, Bayesian models - Abstract
- In this paper we use two most important exchange rates for the Polish economy, the zloty (PLN) values of the US dollar and German mark, to compare Bayesian predictive results obtained using three different multivariate VAR(1)-GARCH specifications. We also confront these results with Bayesian forecasts obtained previously for two independent univariate AR(1)-GARCH(1,1) specifications. Restricting to bivariate time series and to GARCH(1,1) structures enables us to estimate general multivariate ARCH- type specifications, presented by Engle and Kroner (1995) and Gourieroux (1997, eh.6). In view of high dimensionality of the parameter spaces and nonstandard forms of the posterior densities (as well as their full conditionals) we use the Metropolis-Hastings algorithm, discussed by O'Hagan (1994) and Gamerman (1997), to simulate the posterior distributions. (fragment of text)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Bibliography
-
- Baba Y., Engle R.F., Kraft D., Kroner K., 1989. Multivariate simultaneous generalised ARCH, manuscript, Department of Economics, University of California at San Diego.
- Diebold F., Nerlove M., 1989. The dynamic of exchange rate volatility: A multivariate latent factor ARCH model, Journal of Applied Econometrics 4, 1-22.
- Engle R.F., Kroner K.F., 1995. Multivariate simultaneous generalised ARCH, Econometric Theory 11,122-150.
- Gamerman D., 1997. Markov Chain Monte Carlo. Stochastic Simulation for Bayesian Inference (Chapman and Hail, London).
- Gourieroux C., 1997. ARCH Models and Financial Applications (Springer, New York).
- King M., Sentana E., Wadhwani S., 1994. Volatility and links between national stock markets, Econometrica 62, 901-934.
- Newton M.A., Raftery A.E., 1994. Approximate Bayesian inference by the weighted likelihood bootstrap (with discussion), Journal of the Royal Statistical Society B 56, 3-48.
- O'Hagan A., 1994. Bayesian Inference (Edward Arnold, London).
- Osiewalski J., Pipień M., 1999. Bayesian forecasting of foreign exchange rates using GARCH models with skewed t conditional distributions, in: Welfe, W., ed., MACROMODELS'98. Conference Proceedings, Vol.2 (Absolwent, Łódź) 195-218.
- Osiewalski J., Pipień M., 2000. CARCH-In-Mean through skewed t conditional distributions: Bayesian inference for exchange rates, in: Welfe, W., Wdowiński, P., eds., MACROMODELS'99. Conference Proceedings (Absolwent, Łódź) 354-369.
- Osiewalski J., Pipień M., 2001. Bayesian Comparison of Bivariate ARCH-type models for exchange rates, paper presented at the international conference "Recent Advances in Bayesian Econometrics" (GREQAM, Marseille, June 2001).
- Cited by
- ISSN
- 0324-8445
- Language
- eng
