Arbeitspapier
Modelos GARCH assimétricos com inovações t-Student
In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the variance. We discuss problems related to the likelihood function and propose a solution. In order to account for heavy tails in the applications we consider Student-t errors. The Jeffrey's prior is used in this context to correct problems in the estimation of degrees of freedom. A simulated study is presented to highlight the advantages of the proposed methodology and an application to the Brazilian index of prices illustrates the usefulness of the asymmetric GARCH model with student-t errors.
- Language
-
Portugiesisch
- Bibliographic citation
-
Series: Texto para Discussão ; No. 1872
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General
Estimation: General
- Subject
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Student-t
GARCH model
Bayesian approach
Jeffrey's prior
- Event
-
Geistige Schöpfung
- (who)
-
Fonseca, Thaís C. O.
Cerqueira, Vinícius S.
Migon, Hélio S.
Torres, Cristian A. C.
- Event
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Veröffentlichung
- (who)
-
Instituto de Pesquisa Econômica Aplicada (IPEA)
- (where)
-
Brasília
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fonseca, Thaís C. O.
- Cerqueira, Vinícius S.
- Migon, Hélio S.
- Torres, Cristian A. C.
- Instituto de Pesquisa Econômica Aplicada (IPEA)
Time of origin
- 2013
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