Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices

Maciej Kostrzewski ()
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Maciej Kostrzewski: Cracow University of Economics

Central European Journal of Economic Modelling and Econometrics, 2016, vol. 8, issue 3, 161-179

Abstract: A Bayesian stochastic volatility model with a leverage effect, normal errors and jump component with the double exponential distribution of a jump value is proposed. The ready to use Gibbs sampler is presented, which enables one to conduct statistical inference. In the empirical study, the SVLEDEJ model is applied to model logarithmic growth rates of one month forward gas prices. The results reveal an important role of both jump and stochastic volatility components.

Keywords: jump-diffusion model; stochastic volatility; Bayesian approach; MCMC methods; gas forward prices (search for similar items in EconPapers)
JEL-codes: C51 C58 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:8:y:2016:i:3:p:161-179

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