Application of three bivariate time-varying volatility models
AuthorVrontos, Ioannis D.
Giakoumatos, Stefanos G.
Politis, Dimitris Nicolas
SourceApplied Stochastic Models in Business and Industry
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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.