کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7360944 1478837 2014 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
چکیده انگلیسی
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH models subjected to an unknown number of structural breaks at unknown dates. We treat break dates as parameters and determine the number of breaks by computing the marginal likelihoods of competing models. We allow for both recurrent and non-recurrent (change-point) regime specifications. We illustrate the estimation method through simulations and apply it to seven financial time series of daily returns. We find structural breaks in the volatility dynamics of all series and recurrent regimes in nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 29, December 2014, Pages 207-229
نویسندگان
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