Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096559 | Journal of Econometrics | 2011 | 14 Pages |
Abstract
A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and a new simulation smoother are presented. The model is applied to publicly available daily exchange rate and asset return series, and is compared with t-GARCH and Lognormal stochastic volatility formulations using Bayes factors.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Philippe J. Deschamps,