Parameter estimates of the Bayesian MS-GARCH model
| Quarterly data | Monthly data | ||
|---|---|---|---|
| GARCH with maximum likelihood estimation | c | 0.408 | 6.096 |
| α | 0.000 | 0.180** | |
| β | 0.999 | 0.781*** | |
| α+β | 0.999 | 0.961 | |
| MS-GARCH with Bayesian estimation | Regime 1 – low volatility regime | ||
| c1 | 89.344 | 8.495 | |
| α1 | 0.296 | 0.179 | |
| β1 | 0.302 | 0.706 | |
| α1+β1 | 0.598 | 0.885 | |
| p-value | 0.70 | 0.98 | |
| Regime 2 – high volatility regime | |||
| c2 | 83.319 | 9.247 | |
| α2 | 0.252 | 0.047 | |
| β2 | 0.591 | 0.904 | |
| α2+β2 | 0.843 | 0.951 | |
| p-value | 0.57 | 0.91 | |
| Quarterly data | Monthly data | ||
|---|---|---|---|
| GARCH with maximum likelihood estimation | 0.408 | 6.096 | |
| 0.000 | 0.180** | ||
| 0.999 | 0.781*** | ||
| 0.999 | 0.961 | ||
| MS-GARCH with Bayesian estimation | Regime 1 – low volatility regime | ||
| 89.344 | 8.495 | ||
| 0.296 | 0.179 | ||
| 0.302 | 0.706 | ||
| 0.598 | 0.885 | ||
| 0.70 | 0.98 | ||
| Regime 2 – high volatility regime | |||
| 83.319 | 9.247 | ||
| 0.252 | 0.047 | ||
| 0.591 | 0.904 | ||
| 0.843 | 0.951 | ||
| 0.57 | 0.91 | ||
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