Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model

Table 1

Comparison between the efficient and inefficient MCMC simulator.

	MAP	IR		Time (CPU effort)
		𝑡=80	𝑡=160	𝑇=240	𝑇=2400	𝑇=24000
Inefficient	0.16338	45.1748	47.3602	0.031250	4.046875	382.05532
Single-move	0.60585	8.74229	110.245	0.001000	0.015625	0.1083750

Note: MAP denotes mean acceptance probability over the whole sample, while IR refers to inefficiency ratio of the MCMC drawings at observations 80 and 160. Time refers to the total CPU time (in seconds) taken to simulate one complete drawing.