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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
Bayesian Parallel Computation using Griddy-Gibbs Sampler 629
TABLE 30.4
Estimation res ults of EGARCH(1,1) model using S&P 500.
ˆ
θ Mean S.D. 2.5% 97.5% SIF
ˆµ
y
0.0292 0.0085 0.0128 0.0451 2.5 8
ˆα
1
0.9839 0.0022 0.9789 0.9873 2.7 6
ˆ
β
1
0.1201 0.0101 0.1013 0.1414 2.3 7
ˆγ
1
0.0959 0.0080 0.1 117 0 .0804 2.28
log-marginal likelihood = 20,511
Notes: SIF = Simulation Inefficiency Factor and Computing Time = 14.5470 mins.
Table 30.4 presents the posterior mean, poster ior standard deviation and
the credible interval with coverage probability 0.95 for each parameter of the
EGARCH(1,1) model. The favo rable results can be seen from the low stan-
dard deviations
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Publisher Resources

ISBN: 9781482235128