"GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)
AbstractThis paper represents empirical studies of SV models with a generalized hyperbolic (GH) skew Student's t-error distribution to embed both asymmetric heavy-tailness and leverage effects for financial time series. An efficient Markov chain Monte Carlo estimation method is described and the model is fit to daily S&P500 stock returns. The practical importance of the proposed model is highlighted through the model comparison based on the marginal likelihood, Value at Risk (VaR) and expected shortfall. The empirical results show that incorporating leverage and asymmetric heavy-tailness contributes to the model fit and predicting the expected shortfall.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-228.
Length: 34 pages
Date of creation: Nov 2010
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-ECM-2010-11-20 (Econometrics)
- NEP-ETS-2010-11-20 (Econometric Time Series)
- NEP-RMG-2010-11-20 (Risk Management)
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