Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
The code contained here implements SMC for estimating and predicting the GARCH, GJR-GARCH, and BEGE model investigated in the paper. The implementation of MCMC for estimating the BEGE model is also provided.
Each subfolder provides script files ‘Run_estimation’ and ‘Run_prediction’, which are instructions for running each of the methods on real data and simulated data.