Regression modelEconometrics / time series
贝叶斯自回归条件异方差模型
贝叶斯自回归条件异方差（Bayesian ARCH）模型在贝叶斯框架下估计恩格尔（Engle）的自回归条件异方差（Autoregressive Conditional Heteroskedasticity）模型。它不通过最大化似然函数来估计参数，而是将波动率参数的先验分布与数据似然函数相结合，得到完整的后验分布，从而提供比经典最大似然ARCH模型更丰富的量化不确定性信息。
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来源
- 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 ↗
如何引用本页
ScholarGate. (2026, June 3). Bayesian Autoregressive Conditional Heteroskedasticity Model. ScholarGate. https://scholargate.app/zh/econometrics/bayesian-arch-model
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