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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| Format: | Conference or Workshop Item |
| Language: | English |
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2015
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| Online Access: | https://repo.uum.edu.my/id/eprint/15663/1/PID211.pdf |