Bayesian estimation of the parameters of the ARCH and GARCH models using lindley`s approximation
, 2020 Autoregressive conditionally heteroscedastic (ARCH) and Generalised ARCH (GARCH) models are used to analyze empirical financial data and capture various stylized facts in financial econometrics. The procedure that is most commonly used for estimating the unknown parameters of ARCH and GARCH model is the maximum likelihood estimation (MLE) method.
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