de Oliveira, Sandra Cristina [UNESP]de Andrade, Marinho Gomes2014-05-272014-05-272013-04-25Acta Scientiarum - Technology, v. 35, n. 2, p. 339-347, 2013.1806-25631807-8664http://hdl.handle.net/11449/75170Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters' space into real space. The procedure adopts a normal prior distribution for the transformed parameters. The posterior summaries were obtained by Monte Carlo Markov Chain (MCMC) simulation methods. The methodology was evaluated by a series of Bovespa Index returns and the predictive ordinate criterion was employed to select the best adjustment model to the data. Results show that, as a rule, the proposed Bayesian approach provides satisfactory estimates and that the GARCH process with Student's t distribution adjusted better to the data.339-347engARCH familyBayesian analysisFinancial returnsMCMC methodsArtigo10.4025/actascitechnol.v35i2.13547WOS:000322540600019Acesso aberto2-s2.0-848764326822-s2.0-84876432682.pdf12689454348708140000-0002-0968-0108