GARCH Estimation by Gibbs Sampling
Posted: Wed Sep 05, 2012 1:03 pmThis estimates a (univariate) GARCH model using Gibbs sampling, with a combination of independence chain Metropolis for the mean model parameters and random walk Metropolis for the GARCH variance parameters. An example with a multivariate (DCC) model is provided at http://www.estima.com/forum/viewtopic.php?f=8&t=1591. It's probably that a simpler random walk Metropolis for the full parameter set would also work with this example---it just might take a bit of tuning of the scale. A closely related example with does importance sampling rather than Gibbs sampling is provided at http://www.estima.com/forum/viewtopic.php?f=8&t=1609&p=6042
garchgibbs.rpf- Program file (included in RATS v8 distribution)
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- haversample.rat
- Data file (included in RATS v8 distribution)
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