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Integer-valued stochastic volatility

Author

Listed:
  • Aknouche, Abdelhakim
  • Dimitrakopoulos, Stefanos
  • Touche, Nassim

Abstract

We propose a novel class of count time series models, the mixed Poisson integer-valued stochastic volatility models. The proposed specification, which can be considered as an integer-valued analogue of the discrete-time stochastic volatility model, encompasses a wide range of conditional distributions of counts. We study its probabilistic structure and develop an easily adaptable Markov chain Monte Carlo algorithm, based on the Griddy-Gibbs approach that can accommodate any conditional distribution that belongs to that class. We demonstrate that by considering the cases of Poisson and negative binomial distributions. The methodology is applied to simulated and real data.

Suggested Citation

  • Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
    • Handle: RePEc:pra:mprapa:91962
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Griddy-Gibbs; Markov chain Monte Carlo; mixed Poisson parameter-driven models; stochastic volatility; Integer-valued GARCH.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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