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Untitled - UFRJ

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Computational Tools for Comparing Asymmetric GARCHModels via Bayes FactorsRicardo Sandes EhlersICMC-USPIn this paper we use Markov chain Monte Carlo (MCMC) methods in order to estimate and compareGARCH models from a Bayesian perspective. We allow for possibly heavy tailed and asymmetric distributionsin the error term. We use a general method proposed in the literature to introduce skewnessinto a continuous unimodal and symmetric distribution. For each model we compute an approximationto the marginal likelihood, based on the MCMC output. From these approximations we compute BayesFactors and posterior model probabilities.Keywords: GARCH, Markov chain Monte Carlo, Metropolis-Hastings, marginal likelihood.80

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