- Autor
- Osiewalski Jacek, Pipień Mateusz
- Tytuł
- Multivariate t - GARCH Processes : Bayesian Forecasting of Exchanges Rates
- Źródło
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2001, nr 919, s. 187-196, bibliogr. 11 poz.
- Tytuł własny numeru
- Prognozowanie w zarządzaniu firmą
- Słowa kluczowe
- Kurs walutowy, Model GARCH, Modele bayesowskie
Exchange rates, GARCH model, Bayesian models - Abstrakt
- 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)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Bibliografia
-
- 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).
- Cytowane przez
- ISSN
- 0324-8445
- Język
- eng
