Serving the Quantitative Finance Community
Search found 3 matches
- February 27th, 2013, 3:49 pm
- Forum: Student Forum
- Topic: Code for a Bayesian GARCH(1,1) volaitility model
- Replies: 5
- Views: 8871
Code for a Bayesian GARCH(1,1) volaitility model
I have four months to complete this task. That is I have until June 2013.
- February 27th, 2013, 9:29 am
- Forum: Student Forum
- Topic: Code for a Bayesian GARCH(1,1) volaitility model
- Replies: 5
- Views: 8871
Code for a Bayesian GARCH(1,1) volaitility model
BUGS is not versatile enough. My goal is to construct and fine-tune an original MCMC algorithm from scratch.
- February 27th, 2013, 7:03 am
- Forum: Student Forum
- Topic: Code for a Bayesian GARCH(1,1) volaitility model
- Replies: 5
- Views: 8871
Code for a Bayesian GARCH(1,1) volaitility model
<t>I am doing research on single regime and regime switching Bayesian GARCH volatility models. The benchmark for my research is work by David Ardia and Teruo Nakatsuma who have managed to implement these models well. My problem is coding the MCMC algorithms to estimate the parameters, using R. I nee...