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Bayesian estimation of generalized hyperbolic skewed Student GARCH models

Deschamps, Philippe J.

In: Computational Statistics and Data Analysis, 2012, vol. 56, no. 11, p. 3035-3054

Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV-GARCH, is formulated in terms of...