22,p1701—1762. 作者简介: 潘海涛(1978一),男,浙江奉化人,西安财经学院统计学院讲师,研究方向:Bayes方法、试验设计 MCMC Algorithms and Applications inTime Series Pan Haitao Xi’anInstituteofFinance and Economics, School ofStatistics,Shanxi,Xi’an 7006 Abstract:Traditional method iS to use ML method toestimate theparameters,and ML method iS es. sentially all optimization method.But GARCH model ordinarily has many constraints among pa- rameters,which resultinthefailureof trustofMLE results.This paper we use Markov Monte Carlo (MCMC)method to estimate the parameters of normal·based GARCH(1,1)model.The results based on MCMC are more reliable and we also show resultsbased onMCMC are betterthanthatof ML based byusing realfinancial data. Key words:GARCH model;MCMC algorithm; Gibbs sampling;Metropolis—Hasting algorithm; Volatility;Forecasting
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