Table 2.

Bayesian estimation results of volatility parameters

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