http://swrc.ontoware.org/ontology#TechnicalReport
Realized Stochastic Volatility with Leverage and Long Memory
en
ARFIMA
Leverage effect
Long memory
Markov Chain Monte Carlo
Mixture sampler
Realized volatility
Realized stochastic volatility model
State space model
Shirota Shinichiro
Hizu Takayuki
Omori Yasuhiro
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.
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Discussion paper series. CIRJE-F
CIRJE-F-880
2013-03
AA11450569
application/pdf
日本経済国際共同センター
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf880ab.html