Document Type
Working Paper
Abstract
The main purpose of this paper is to derive the process of estimating dynamic RRA with the maximum likelihood and a Bayesian method having a weakly informative prior density while assuming that the log excess returns on the market are distributed as normal mixture, GARCH(1,1), Mixture GARCH (1, 1). Simulation analysis has been used to compare MLE and Bayesian estimates. Empirical results using GARCH model are presented using market rates of returns and risk-free rates over the period 1941 to 2010. Â
Publication Date
1-4-2015
Publisher
Indian Institute of Management Bangalore
Pagination
32p.
Recommended Citation
Gupta, Rohit, "Retesting the estimation of a utility-based asset pricing model using normal mixture GARCH (1, 1)" (2015). Working Papers. 474.
https://research.iimb.ac.in/work_papers/474
Relation
IIMB Working Paper-499
