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| Author: | Nakatsuma, T. |
| Title: | Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach |
| Journal: | Journal of Econometrics
2000 : MAR, VOL. 95:1, p. 57-69 |
| Index terms: | Models Regression analysis |
| Freeterms: | Bayesian analysis Monte Carlo simulation Markov analysis |
| Language: | eng |
| Abstract: | There is a Markov chain Monte Carlo method developed for a linear regression model with an ARMA(p,q)-GARCH(r,s) error. To generate a Monte Carlo sample from the joint posterior distribution, a Markov chain sampling with the Metropolis-Hastings (1953,1970) algorithm is employed. As illustration, an ARMA-GARCH model of simulated time series data is estimated. |
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