bayesian non-parametric mixtures of garch(1,1) models贝叶斯非参数混合物的garch(1,1)模型.pdfVIP

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2012, Article ID 167431, 16 pages doi:10.1155/2012/167431 Research Article Bayesian Non-Parametric Mixtures of GARCH(1,1) Models John W. Lau and Ed Cripps School of Mathematics and Statistics, The University of Western Australia, Perth, Australia Correspondence should be addressed to John W. Lau, john.lau@.au Received 2 March 2012; Revised 16 May 2012; Accepted 18 May 2012 Academic Editor: Ori Rosen Copyright q 2012 J. W. Lau and E. Cripps. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Traditional GARCH models describe volatility levels that evolve smoothly over time, generated by a single GARCH regime. However, nonstationary time series data may exhibit abrupt changes in volatility, suggesting changes in the underlying GARCH regimes. Further, the number and times of regime changes are not always obvious. This article outlines a nonparametric mixture of GARCH models that is able to estimate the number and time of volatility regime changes by mixing over the Poisson-Kingman process. The process is a generalisation of the Dirichlet process typically used in nonparametric models for time-dependent data provides a richer clustering structure, and its application to time series data is novel. Inference is Bayesian, and a Markov chain Monte Carlo algorithm to explore the posterior distribution is described. The methodology is illustrated on the Standard and Poor’s 500 financial index. 1. Introduction Generalised autoregressive conditional heteroscedastic GARCH models estimate time- varying fluctu