Application of three bivariate time-varying volatility models
Date
2001ISSN
1524-1904Source
Applied Stochastic Models in Business and IndustryVolume
17Issue
1Pages
121-133Google Scholar check
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The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series of exchange rates, and we estimate the parameters using Bayesian inference. We compare these models using a posterior predictive model diagnostic.