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

• Autor(es): Safadi, Thelma ; Pereira, Isabel
• Data: 2010
• Identificador Persistente: http://hdl.handle.net/10773/4426
• Origem: RIA - Repositório Institucional da Universidade de Aveiro
• Assunto(s): Asymmetry; Long memory; Volatility
• Tipo de Documento: Artigo
• Idioma: Inglês

Descrição

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