The stochastic volatility model has been popular to explain a dynamic structure of financial time series such asset returns. In this paper, we first consider the asymmetry that the increase in the volatility is followed by the decrease in the asset return. Then, we consider a Markov switching of two (high and low) volatility states using a random state variable which follows a Markov process. The restrictions for the identification of the switching parameters are determined by using a permutation sampler with Markov chain Monte Carlo method. The Markov switching asymmetric stochastic volatility model is applied to TOPIX returns data, and model comparisons are conducted.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-J
巻
CIRJE-J-191
発行年
2008-02
書誌レコードID
AA11451834
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析 : 順列サンプラーによる探索
