Realized Stochastic Volatility with Leverage and Long Memory
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アイテムタイプ
テクニカルレポート / Technical Report
言語
英語
キーワード
ARFIMA, Leverage effect, Long memory, Markov Chain Monte Carlo, Mixture sampler, Realized volatility, Realized stochastic volatility model, State space model
Graduate School of Echonomics, University of Tokyo
Mitsubishi UFJ Trust and Banking
Faculty of Economics, University of Tokyo
抄録
The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. The dependent variable in the stochastic volatility model is the logarithm of the squared return, and its error distribution is approximated by a mixture of normals. In addition, we incorporate the logarithm of the realized volatility into the measurement equation, assuming that the latent log volatility follows an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to describe its long memory property. Using a state space representation, we propose an efficient Bayesian estimation method implemented using Markov chain Monte Carlo method (MCMC). Model comparisons are performed based on the marginal likelihood, and the volatility forecasting performances are investigated using S&P500 stock index returns.
内容記述
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雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-880
発行年
2013-03
書誌レコードID
AA11450569
フォーマット
application/pdf
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
Realized Stochastic Volatility with Leverage and Long Memory
