We use cookies to create the best experience for you. Keep on browsing if you are OK with that, or find out how to manage cookies.

Bayesian analysis of HMM-GARCH models in Finance - Research Proposal Example

Comments (0) Cite this document
Summary
Name: Name of of tutor: Bayesian analysis of HMM-GARCH models in Finance Table of Contents Table of Contents 2 Abstract 3 Introduction to the Problem 4 Purpose of the Study 4 Research Objectives 5 Research Question 6 Literature Review 7 Research Methodology 10 Reflection on Limitations 10 Ethical Concerns in the Research 11 Conclusion 12 Abstract This research paper aims to explain methodologies for the Bayesian assessment of solitary- regime, as well as a system- switching Generalized Autoregressive Conditional Heteroskedasticity models…
Download full paperFile format: .doc, available for editing
Polish This Essay97.8% of users find it useful
Bayesian analysis of HMM-GARCH models in Finance
Read TextPreview

Extract of sample
"Bayesian analysis of HMM-GARCH models in Finance"

Download file to see previous pages The Bayesian approach allows small sample outcomes, fast evaluation, model bigotry and credible reports concerning non-linear roles of the model constraints. Reasonably based financial verdicts hold a gigantic normative characteristic (Bijak, 45). This report paper will explain in detail its purpose, objectives, methodology, limitations and ethical concerns in the study. The first four chapters bring in the research work and an overview of Bayesian analysis of the HMM-GARCH models in Finance. The subsequent two chapters illustrate the assessment of the HMM-GARCH models with standard improvements. Real financial data is used based on this estimate models. It is noted that still for hefty data analysis the perimeter calculate approximately and distance varies between the two models. Care must be used when basing judgments for these two classes of models. The last two chapters reflect on the limitations and ethical concerns associated with these two models. Introduction to the Problem A particle filtering technique is offered to chronological evaluation that will erect on the change- point model of Chib. GARCH models can not be estimated with an unidentified quantity of states through subsisting MCMC procedures. No procedures of computing trivial probabilities of these models exist. Therefore, it is highly not convenient to approximate these categories of models by using at hand MCMC methods. This can be possible if one is ready to assume that the integer of break points is also called a priori (Sebe et al, 36). Centre of attention must be on the in order filtering issue other than the smoothing issue of MCMC model. The path reliance that structural breaks persuade in GARCH models is removed. This is due to the main reason that merely the one-step-ahead prognostic sharing is needed in computation. This therefore, is a fundamental point in excess of two potential states unconfirmed on restrictions in the proposed structural fracture model (Francq et al, 37). Purpose of the Study The Bayesian analysis of HMM-GARCH models in Finance permits the figure of breaks as well as models to be used in this research. Algorithms made up approximated the model parameters and the integers of structural breaks at each indicate. This is founded on a particular run of the particle filter algorithm. This therefore, makes the models use to be computationally proficiency (Terrell, 27). The confronting global scenery of set models administration is set apart by the ambiguity of the financial markets. The financial sector is always in an invariable activity. A good example of this; is the financial stock market where financial figures change at every moment. Therefore, the financial trade market is at constant change of financial integers. Incessantly, transforming the jeopardy or profit models manipulate on the latent of variation of intercontinental plus points distribution. The regime-switching models demonstrated enables, the two dissimilar systems. This is by the careful computation of the self-motivated risk or profit structure of any international benefit. The additional room to take account of singular asset types; for example alternative assets, stocks and bonds and in an ...Download file to see next pagesRead More
Cite this document
  • APA
  • MLA
  • CHICAGO
(“Bayesian analysis of HMM-GARCH models in Finance Research Proposal”, n.d.)
Retrieved from https://studentshare.org/statistics/1477109-bayesian-analysis-of-hmm-garch-models-in-finance
(Bayesian Analysis of HMM-GARCH Models in Finance Research Proposal)
https://studentshare.org/statistics/1477109-bayesian-analysis-of-hmm-garch-models-in-finance.
“Bayesian Analysis of HMM-GARCH Models in Finance Research Proposal”, n.d. https://studentshare.org/statistics/1477109-bayesian-analysis-of-hmm-garch-models-in-finance.
  • Cited: 0 times
Comments (0)
Click to create a comment or rate a document
CHECK THESE SAMPLES - THEY ALSO FIT YOUR TOPIC
Financial Time series including ARCH-Garch models
This financial time series attempts seek to approach and understand financial markets based on facts and manage the risk that faces it. The processes enable financial analysts and managers to model investment probabilities and make estimations with regards to pricing and risk options. Huge corporations and banks have encountered financial crisis due to financial risks involved in the markets in which they operate.
9 Pages(2250 words)Research Paper
Alternative Finance Models
Alternative Finance Models The global financial crisis which took place in the summer of 2007 spread like virus to countries all over the world including Europe and North America. According to a study over 100 such financial crisis have taken place so far and many scholars are now starting to doubt the financial system that countries have been following for years(Stiglitz,2003).
8 Pages(2000 words)Essay
Project finance and risk management
By definition, project finance is the financing of industrial and infrastructural projects based on the anticipated cash flows out of such projects rather than the assets and liabilities of the sponsors. This expression brings out clear difference between project finance and traditional corporate finance in the sense that payment from the corporate finance comes entirely from the organization.
7 Pages(1750 words)Research Proposal
Finance Analysis: SABMiller
The researcher states that SABMiller beer has been in the beer and softdrinks businesss for many years. The succeeding paragraphs of this research proposal show how good SABMiller is in acquiring and managing its long term debts and also how it has acquired additional funds from the stock exchange's offering of its stock.
7 Pages(1750 words)Research Proposal
Business/Finance (islamic Finance)
Last ten years have witnessed a phenomenal growth rate in Islamic financial institutions' performance. As per the recent statistics provided by The International Islamic Finance Forum (2007), there are 270 Islamic banks worldwide having $265 billion assets, financial investments of around $400 billion, and deposits of $202 billion.
4 Pages(1000 words)Research Proposal
Controversy in the Finance Field
As the author of the essay puts it, one controversial topic that surrounds the finance field is the setting of accounting standards by the Federal Accounting Standards Board. Moreover, the controversy stems from the ability of the board to change the standards that determine the financial information formulated, used, and presented.
3 Pages(750 words)Research Proposal
Analysis of Current Issues in Finance Coursework: Research Portfolio
Corporate governance has been identified as a very useful system by which banks in the UK can be regulated in the conduct of their business to ensure that they all follow a set of accepted and approved paradigm of operations that is acceptable by
4 Pages(1000 words)Research Proposal
Bayesian Estimation
However, the modern one is known as Bayesian estimation. The statistics is a science of inexactitude and therefore, the Bayesian approach considers everything as a possibility and assigns a certain figure to its probability of occurring (Aldrin, Holden and Guttorp, 256).
3 Pages(750 words)Essay
Personal finance proposal
Behavioral finance be because of the financial decisions made because of psychological influence over ones’ practices (Sewell 2005). When a
1 Pages(250 words)Research Proposal
Managing Finance
The budgeting process and procedures of the Wal-Mart are focused lower business cost of capital for the company. It is because the volatile in the retailing market is relatively high. The budgets of the company are developed using Real Option Techniques, NPV and
2 Pages(500 words)Research Proposal
Let us find you another Research Proposal on topic Bayesian analysis of HMM-GARCH models in Finance for FREE!
Contact us:
+16312120006
Contact Us Now
FREE Mobile Apps:
  • About StudentShare
  • Testimonials
  • FAQ
  • Blog
  • Free Essays
  • New Essays
  • Essays
  • The Newest Essay Topics
  • Index samples by all dates
Join us:
Contact Us