Bayesian inference with an adaptive proposal density for GARCH models

We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student's t-distribution and the distribution parameters are evaluated by using the data sampled during the simulation. We apply the method for the QGARCH model which is one of asymmetric GARCH models and make empirical studies for for Nikkei 225, DAX and Hang indexes. We find that autocorrelation times from our method are very small, thus the method is very efficient for generating uncorrelated Monte Carlo data. The results from the QGARCH model show that all the three indexes show the leverage effect, i.e. the volatility is high after negative observations

Financial Time Series Analysis of SV Model by Hybrid Monte Carlo

We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility variables of the SV model in the Bayesian inference. We compute parameters of the SV model from the artificial financial data and compare the results from the HMC algorithm with those from the Metropolis algorithm. We find that the HMC decorrelates the volatility variables faster than the Metropolis algorithm. We also make an empirical analysis based on the Yen/Dollar exchange rates.Comment: 8 pages, 3 figures, to be published in LNC

Renormalization group flow of SU(3) lattice gauge theory - Numerical studies in a two coupling space

We investigate the renormalization group (RG) flow of SU(3) lattice gauge theory in a two coupling space with couplings $\beta_{11}$ and $\beta_{12}$ corresponding to $1\times 1$ and $1\times 2$ loops respectively. Extensive numerical calculations of the RG flow are made in the fourth quadrant of this coupling space, i.e., $\beta_{11}>0$ and $\beta_{12}<0$. Swendsen's factor two blocking and the Schwinger-Dyson method are used to find an effective action for the blocked gauge field. The resulting renormalization group flow runs quickly towards an attractive stream which has an approximate line shape. This is numerical evidence of a renormalized trajectory which locates close to the two coupling space. A model flow equation which incorporates a marginal coupling (asymptotic scaling term), an irrelevant coupling and a non-perturbative attraction towards the strong coupling limit reproduces qualitatively the observed features. We further examine the scaling properties of an action which is closer to the attractive stream than the currently used improved actions. It is found that this action shows excellent restoration of rotational symmetry even for coarse lattices with $a \sim 0.3$ fm.Comment: 18 pages with 9 eps figures psfig.sty, typos correcte

Lattice calculation of the lowest order hadronic contribution to the muon anomalous magnetic moment

We present a quenched lattice calculation of the lowest order (alpha^2) hadronic contribution to the anomalous magnetic moment of the muon which arises from the hadronic vacuum polarization. A general method is presented for computing entirely in Euclidean space, obviating the need for the usual dispersive treatment which relies on experimental data for e^+e^- annihilation to hadrons. While the result is not yet of comparable accuracy to those state-of-the-art calculations, systematic improvement of the quenched lattice computation to this level of accuracy is straightforward and well within the reach of present computers. Including the effects of dynamical quarks is conceptually trivial, the computer resources required are not.Comment: 12 pages, including two figures. Added reference and footnote Replaced with published version; minor changes asked for by referees and minor deletions to stay within page limi

Scaling Analysis of Improved Actions for Pure SU(3) Gauge Theory

We have explored the behaviour of some improved actions based on a nonperturbative renormalization group (RG) analysis in coupling space. We calculate the RG flow in two-coupling space (\boneone,\bonetwo) and examine the restoration of rotational invariance and the scaling of physical quantities $(T_c/\sqrt{\sigma})$.Comment: LATTICE98(improvement