A mixture autoregressive model based on Gaussian and Student's $t$-distributions

• Tác giả: Savi Virolainen
• Ngôn ngữ: eng
• Ký hiệu phân loại: 332.46 Monetary policy
• Thông tin xuất bản: 2020
• Bộ sưu tập: Báo, Tạp chí
• ID: 164077

Tóm tắt

We introduce a new mixture autoregressive model which combines Gaussian and Student's $t$ mixture components. The model has very attractive properties analogous to the Gaussian and Student's $t$ mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student's $t$ regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate.