A Bayesian Analysis of Unobserved Component Models using Ox

Charles Bos

No 11-048/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper led to a publication in the 'Journal of Statistical Software' , 41(13), 1-24.

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one reason for this difference is the relative difficulty of estimating the unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their commonalities. In this manner, the advantages of each method are investigated, resulting in a comparisonof the methods for their efficiency, difficulty-of-implementation, and precision.

Keywords: Stochastic volatility; estimation; methodology (search for similar items in EconPapers)
JEL-codes: C13 C18 C51 (search for similar items in EconPapers)
Date: 2011-03-03
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A Bayesian Analysis of Unobserved Component Models Using Ox (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20110048

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