Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler

Autor:	Rego, Arthur T., Santos, Thiago R. dos
Rok vydání:	2018
Předmět:	Quantitative Finance - Statistical Finance Quantitative Finance - Computational Finance Statistics - Other Statistics 37M10 62P05 G.3
Druh dokumentu:	Working Paper
Popis:	In this work, we propose a model for estimating volatility from financial time series, extending the non-Gaussian family of space-state models with exact marginal likelihood proposed by Gamerman, Santos and Franco (2013). On the literature there are models focused on estimating financial assets risk, however, most of them rely on MCMC methods based on Metropolis algorithms, since full conditional posterior distributions are not known. We present an alternative model capable of estimating the volatility, in an automatic way, since all full conditional posterior distributions are known, and it is possible to obtain an exact sample of parameters via Gibbs Sampler. The incorporation of jumps in returns allows the model to capture speculative movements of the data, so that their influence does not propagate to volatility. We evaluate the performance of the algorithm using synthetic and real data time series. Keywords: Financial time series, Stochastic volatility, Gibbs Sampler, Dynamic linear models. Comment: 27 pages, 12 figures, 5 Tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1809.01501 Zobrazit plný text záznamu View this record from Arxiv