Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach

In this paper, we propose a Griddy-Gibbs sampler approach to estimate parameters and forecast volatilities for the power transformed and threshold GARCH (PTTGARCH; Pan et al. in J Econ 142:352–378, 2008) model, which includes the standard GARCH model and many other commonly used models as special cases. Simulation study indicates that the Bayesian scheme performs effectively in estimation and prediction. A real data example is presented to support our proposed Bayesian method.