From: Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility
Parameter | Prior confidence interval | Posterior mean | Parameter | Prior confidence interval | Posterior mean |
---|---|---|---|---|---|
μa | (-0.52, 0.12) | − 0.23 | φg | (0.71, 0.74) | 0.72 |
μb | (3.82, 5.36) | 4.74 | φz | (0.72, 0.75) | 0.73 |
μg | (0.62, 1.01) | 0.88 | σa2 | (0.01, 0.04) | 0.02 |
μz | (1.01, 2.18) | 1.33 | σb2 | (0.01, 0.03) | 0.01 |
φa | (0.71, 0.79) | 0.74 | σg2 | (0.01, 0.04) | 0.02 |
φb | (0.71, 0,78) | 0.72 | σz2 | (0.01, 0.04) | 0.02 |