Bayesian analysis of FIAPARCH model: an application to São Paulo stock market

• Author(s): Safadi, Thelma ; Pereira, Isabel
• Date: 2010
• Persistent ID: http://hdl.handle.net/10773/4426
• Origin: RIA - Repositório Institucional da Universidade de Aveiro
• Subject(s): Asymmetry; Long memory; Volatility
• Document Type: Article
• Language: English

Description

In this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a simulation study and it is applied to a set of observations concerning the returns of IBOVESPA values