کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4646453 1342299 2015 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A t-distribution based particle filter for univariate and multivariate stochastic volatility models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات محاسباتی
پیش نمایش صفحه اول مقاله
A t-distribution based particle filter for univariate and multivariate stochastic volatility models
چکیده انگلیسی

Stochastic Volatility (SV) model usually assumes that the distribution of asset returns conditional on the latent volatility is normal. Previous approaches to estimation of SV model have mostly focused on Gaussian filters in practice. This paper analyzes SV model with the student-t distribution and compares the distribution with mixture-of-normal distributions of Kim and Stoffer [22]. A Sequential Monte Carlo with Expectation–Maximization (SMCEM) technique based on student-t distribution is developed to estimate the parameters for the extended volatility model. The SMC method, or particle filter based on student-t distribution, which is heavier tailed than Gaussians, provides an approximate solution to non-Gaussian estimation problem and hence more robust. Our empirical analysis indicates that extension of the SV model such as a specification of the error term with student-t distribution in the return equation dominates the normal mixture distribution. Additionally, the t-distribution based particle filter is applied to a multivariate stochastic volatility model. It is again shown that the student-t based algorithm performs quite well in explaining the joint dynamics in the volatility of a set of four exchange rates series.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Nigerian Mathematical Society - Volume 34, Issue 2, August 2015, Pages 227–242
نویسندگان
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