Title :
Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Author :
Takaishi, Tetsuya
Author_Institution :
Hiroshima Univ. of Econ., Hiroshima, Japan
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.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.
Keywords :
financial data processing; inference mechanisms; time series; Bayesian inference; Metropolis-Hastings algorithm; adaptive construction scheme; artificial QGARCH data; generalized autoregressive conditional heteroscedasticity model; quadratic GARCH model; time series; Bayesian methods; Economic forecasting; Finance; Inference algorithms; Information science; Maximum likelihood estimation; Parameter estimation; Predictive models; Proposals; Sampling methods; Bayesian inference; GARCH model; Markov Chain Monte Carlo; Metropolis-Hasting algorithm;
Conference_Titel :
Computer and Information Science, 2009. ICIS 2009. Eighth IEEE/ACIS International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-0-7695-3641-5
DOI :
10.1109/ICIS.2009.173