Forecasting linear time series models with heteroskedastic errors in a Bayesian approach
A study was conducted to compare the forecasting performance of four models, namely Stochastic Volatility (SV), Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Autoregressive with GARCH errors (AR-GARCH) and Autoregressive with SV errors (AR-SV).Bayesian approach and Markov Chain...
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| Main Author: | |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2015
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/15663/1/PID211.pdf http://repo.uum.edu.my/15663/ http://www.icoci.cms.net.my/proceedings/2015/TOC.html |
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| Institution: | Universiti Utara Malaysia |
| Language: | English |