Regression modelEconometrics / time series

Bayesian ARCH Model

The Bayesian ARCH model estimates Engle's Autoregressive Conditional Heteroskedasticity specification within a Bayesian framework. Instead of maximising a likelihood, it combines a prior distribution over the volatility parameters with the data likelihood to obtain a full posterior distribution, providing richer uncertainty quantification than classical maximum-likelihood ARCH.

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Sources

  1. 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
  2. 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

Related methods

Referenced by

ScholarGateBayesian ARCH model (Bayesian Autoregressive Conditional Heteroskedasticity Model). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/bayesian-arch-model