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On generalised asymmetric stochastic volatility models

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  • Tsiotas, Georgios
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    Abstract

    Stochastic volatility (SV) models have been considered as a real alternative to time-varying volatility of the ARCH family. Existing asymmetric SV (ASV) models treat volatility asymmetry via the leverage effect hypothesis. Generalised ASV models that take account of both volatility asymmetry and normality violation expressed simultaneously by skewness and excess kurtosis are introduced. The new generalised ASV models are estimated using the Bayesian Markov Chain Monte Carlo approach for parametric and log-volatility estimation. By using simulated and real financial data series, the new models are compared to existing SV models for their statistical properties, and for their estimation performance in within and out-of-sample periods. Results show that there is much to gain from the introduction of the generalised ASV models.

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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 56 (2012)
    Issue (Month): 1 (January)
    Pages: 151-172

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    Handle: RePEc:eee:csdana:v:56:y:2012:i:1:p:151-172

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    Web page: http://www.elsevier.com/locate/csda

    Related research

    Keywords: Stochastic volatility Leverage effect Noncentral-t distribution Skew-normal distribution Skew-t distribution Metropolis-Hastings MCMC DIC Model selection Forecasting evaluation;

    References

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    Cited by:
    1. BOCART, Fabian Y. R. P. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," CORE Discussion Papers 2011052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Jerzy P. Rydlewski & Ma{\l}gorzata Snarska, 2012. "On Geometric Ergodicity of Skewed - SVCHARME models," Papers 1209.1544, arXiv.org.
    3. Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
    4. Rydlewski, Jerzy P. & Snarska, Małgorzata, 2014. "On geometric ergodicity of skewed—SVCHARME models," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 192-197.
    5. Xiuping Mao & Esther Ruiz & Helena Veiga, 2013. "One for all : nesting asymmetric stochastic volatility models," Statistics and Econometrics Working Papers ws131110, Universidad Carlos III, Departamento de Estadística y Econometría.

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