A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approachq-fin.ST
Bayesian GED-Gamma model improves SV model for return data.
problem Intractable latent parameters in volatility models.
method Bayesian GED-Gamma SV model with marginal likelihood, non-linear Gaussian evolution.
result Proposed model can be reasonably estimated and provides better fit and prediction.