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Doctoral Thesis
Document
Author
Full name
Cleber Martins Xavier
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2019
Supervisor
Committee
Ehlers, Ricardo Sandes (President)
Dias, Teresa Cristina Martins
Herencia, Mauricio Enrique Zevallos
Laurini, Marcio Poletti
Milan, Luis Aparecido
Title in Portuguese
Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
Keywords in Portuguese
MCMC
Modelos GARCH
Monte Carlo Hamiltoniano
Volatilidade
Abstract in Portuguese
Uma das informações mais importantes no mercado financeiro é a variabilidade de um ativo. Diversos modelos foram propostos na literatura com o intuito de avaliar este fenômeno. Dentre eles podemos destacar os modelos GARCH. Este trabalho propõe o uso do método Monte Carlo Hamiltoniano (HMC) para a estimação dos parâmetros do modelo GARCH univariado e multivariado. Estudos de simulação são realizados e as estimativas comparadas com o método de estimação Metropolis-Hastings presente no pacote BayesDccGarch. Além disso, compara-se os resultados do método HMC com a metodologia adotada no pacote rstan. Por fim, é realizado uma aplicação a dados reais utilizando o DCC-GARCH bivariado e os métodos de estimação HMC e Metropolis-Hastings.
Title in English
Hamiltonian Monte Carlo methods in GARCH models
Keywords in English
GARCH models
Hamiltonian Monte Carlo
MCMC
Volatility
Abstract in English
One of the most important informations in financial market is variability of an asset. Several models have been proposed in literature with a view of to evaluate this phenomenon. Among them we have the GARCH models. This paper use Hamiltonian Monte Carlo (HMC) methods for estimation of parameters univariate and multivariate GARCH models. Simulation studies are performed and the estimatives compared with Metropolis-Hastings methods of the BayesDcc- Garch package. Also, we compared the results of HMC method with the methodology present in rstan package. Finally, a application with real data is performed using bivariate DCC-GARCH and the methods of estimation HMC and Metropolis-Hastings.
 
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Publishing Date
2019-10-09
 
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