Bayesian inference of multivariate-GARCH-BEKK models

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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...

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Bibliographic Details
Main Authors:	Livingston, Jr, Glen, Nur, Darfiana
Format:	Journal Article
Published:	Springer Nature 2022
Online Access:	http://hdl.handle.net/20.500.11937/89416

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