Box--Cox realized asymmetric stochastic volatility models with generalized Student's t -error distributions

Didit B. Nugroho and Takayuki Morimoto

Journal of Applied Statistics, 2016, vol. 43, issue 10, 1906-1927

Abstract: This study proposes a class of non-linear realized stochastic volatility (SV) model by applying the Box--Cox (BC) transformation, instead of the logarithmic transformation, to the realized estimator. The non-Gaussian distributions such as Student's t , non-central Student's t , and generalized hyperbolic skew Student's t -distributions are applied to accommodate heavy-tailedness and skewness in returns. The proposed models are fitted to daily returns and realized kernel of six stocks: SP500, FTSE100, Nikkei225, Nasdaq100, DAX, and DJIA using an Markov chain Monte Carlo Bayesian method, in which the Hamiltonian Monte Carlo (HMC) algorithm updates BC parameter and the Riemann manifold HMC algorithm updates latent variables and other parameters that are unable to be sampled directly. Empirical studies provide evidence against both the logarithmic transformation and raw versions of realized SV model.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1080/02664763.2015.1125862 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:43:y:2016:i:10:p:1906-1927

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CJAS20

DOI: 10.1080/02664763.2015.1125862

Access Statistics for this article

Journal of Applied Statistics is currently edited by Robert Aykroyd

More articles in Journal of Applied Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().