A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors

作者：Xia, Qiang; Liang, Rubing; Liu, Jinshan^*

来源：Communications in Statistics - Theory and Methods, 2015, 44(9): 1967-1980.

DOI：10.1080/03610926.2013.863926

• ARX-PTTGARCH model
• Gibbs sampler
• Metropolis-Hastings algorithm
• Bayesian inference
• Stock-markets

Consider a class of autoregressive models with exogenous variables and power transformed and threshold GARCH (ARX-PTTGARCH) errors, which is a natural generalization of the standard and special GARCH model. We propose a Bayesian method to show that combining Gibbs sampler and Metropolis-Hastings algorithm to give a Bayesian analysis can be applied to estimate parameters of ARX-PTTGARCH models with success.

• 出版日期2015
• 单位中国人民大学; 华南农业大学