Bayesiansk ARCH-model
Den Bayesianske ARCH-model estimerer Engle's Autoregressive Conditional Heteroskedasticity-specifikation inden for et Bayesiansk rammeværk. I stedet for at maksimere en likelihood kombinerer den en prior-fordeling over volatilitetsparametrene med data-likelihooden for at opnå en fuld posterior-fordeling, hvilket giver en rigere kvantificering af usikkerhed end klassisk maximum-likelihood ARCH.
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Kilder
- Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI: 10.2307/1912773 ↗
- Geweke, J. (1989). Exact predictive densities for linear models with ARCH disturbances. Journal of Econometrics, 40(1), 63–86. DOI: 10.1016/0304-4076(89)90030-4 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Bayesian Autoregressive Conditional Heteroskedasticity Model. ScholarGate. https://scholargate.app/da/econometrics/bayesian-arch-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- ARCH-model (Autoregressiv Betinget Heteroskedasticitet)Økonometri↔ compare
- Bayesiansk EGARCH-modelØkonometri↔ compare
- Bayesiansk GARCH-modelØkonometri↔ compare
- Bayesian TGARCH (Threshold GARCH med Bayesiansk Estimering)Økonometri↔ compare
- DCC-GARCH-model (Dynamisk Betinget Korrelation)Økonometri↔ compare
- GARCH-model (volatilitetsprognoser)Økonometri↔ compare
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