A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors |
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| Authors: | Qiang Xia Rubing Liang |
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| Affiliation: | 1. Department of Applied Mathematics, South China Agricultural University, Guangzhou, China;2. Renmin University of China, School of Statistics, Beijing, China |
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| Abstract: | Consider a class of autoregressive models with exogenous variables and power transformed and threshold GARCH (ARX-PTTGARCH) errors, which is a natural generalization of the standard and special GARCH model. We propose a Bayesian method to show that combining Gibbs sampler and Metropolis-Hastings algorithm to give a Bayesian analysis can be applied to estimate parameters of ARX-PTTGARCH models with success. |
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| Keywords: | ARX-PTTGARCH model Gibbs sampler Metropolis-Hastings algorithm Bayesian inference Stock-markets |
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