Table 1.

Comparison results for the mixture normal GARCH(1,1) model using HMC algorithm and GG sampler based on 100 replicates samples

Parameter	${\alpha }_0(0.1)$	${\alpha }_1(0.2)$	${\beta }_1(0.5)$	$\rho (0.8)$	$\lambda (0.15)$	Time
HMC-mean	0.1167	0.2155	0.4478	0.7922	0.1486
HMC-median	0.1187	0.2139	0.4356	0.7970	0.1486	12.23 mins
	(0.0269)	(0.0621)	(0.0866)	(0.0449)	(0.0210)
GG-mean	0.1163	0.2339	0.4611	0.7929	0.1406
GG-median	0.1128	0.2244	0.4636	0.7961	0.1416	56.22 mins
	(0.0247)	(0.0604)	(0.0917)	(0.0467)	(0.0200)