Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland

摘要

We use the daily zloty (PLN) values of the US dollar (USD) and German mark (DEM) to compare various bivariate ARCH-type models through their Bayes factors. We start with three non-nested, conditionally Student t specifications: the VechGARCH(l,l) model, Boller-slcv's (Rev. Econom. Statist. 72 (1990) 498) constant conditional correlation model and a latent factor GARCH model. Since only the first model explains the data relatively well, but uses too many parameters, we examine its special cases, including a simple f-BEKK(l,l) specification that has very high Bayes factors against most of other models.