金融ARCH模型的贝叶斯检验和模型选择

Bayesian Testing and Model Comparison for Financial ARCH Models

在金融时间序列分析中,检验ARCH效果和决定合适的阶是ARCH模型的重要研究主题,在贝叶斯框架下,本文使用贝叶斯因子来检验ARCH效果和选择ARCH模型合适的阶。在路径抽样的基础上,提出了计算ARCH模型贝叶斯因子的方法。最后,我们用一个具体的实例来论证了所提方法的有效性。

In financial time series analysis, testing the ARCH effect and determining the appropriate order value is one of the important topics. In this paper, the Bayes factor is employed to test the ARCH effect and choose the appropriate order value for ARCH models under Bayesian framework. A procedure for computing Bayes factor based on path sampling is established for this purpose. In the end, a real example is illustrated to demonstrate our proposed method.