Dynamic equicorrelation stochastic volatility

Yuta Kurose and Yasuhiro Omori ()

Computational Statistics & Data Analysis, 2016, vol. 100, issue C, 795-813

Abstract: A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an efficient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent variables simultaneously. Numerical examples are provided to show its sampling efficiency in comparison with the simple algorithm that generates one latent variable at a time given other latent variables. Furthermore, the proposed model is applied to the multivariate daily stock price index data. The model comparisons based on the portfolio performances and DIC show that our model overall outperforms competing models.

Keywords: Asymmetry; Cross leverage effect; Dynamic equicorrelation; Markov chain Monte Carlo; Multi-move sampler; Multivariate stochastic volatility (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813

DOI: 10.1016/j.csda.2015.01.013

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