Bayesian inference of multivariate-GARCH-BEKK models
The main aim of this paper is to present a Bayesian analysis of Multivariate GARCH(l, m) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature. The proposed algorithm focuses on the BEKK formul...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Springer Nature
2022
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| Online Access: | http://hdl.handle.net/20.500.11937/89416 |