Bayesian Comparison of Bivariate Copula-GARCH and MGARCH Models

• Autorzy: Justyna Mokrzycka
• Języki publikacji: EN

Abstrakty

EN

The aim of the study is to formally compare the explanatory power of CopulaGARCH and MGARCH models. The models are estimated for logarithmic daily rates of return of two exchange rates: EUR/PLN, USD/PLN and stock market indices: SP500, BUX. The analysis is performed within the Bayesian framework. The posterior model probabilities point to AR(1)-tSBEKK(1,1) for the exchange rates and VAR(1)-tCopula-GARCH(1,1) for the stock market indices, as the superior specifications. If the marginal sampling distributions are different in terms of tail thickness, the Copula-GARCH models have higher explanatory power than the MGARCH models. (original abstract)

Słowa kluczowe

EN

Bayesian models; Copula Functions; GARCH model; Monte Carlo method

PL

Modele bayesowskie; Funkcje połączeń; Model GARCH; Metoda Monte Carlo

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2019
• Tom: 11
• Numer: nr 1
• Strony: 47--71

Twórcy

autor

Justyna Mokrzycka

• Cracow University of Economics

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