New volatility models under a Bayesian perspective: a case study
In this paper, we present a brief description of ARCH, GARCH and EGARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use other inference approach to get estimate...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2014-06-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502014000200001&lng=en&tlng=en |