On generalised asymmetric stochastic volatility models

Georgios Tsiotas

Computational Statistics & Data Analysis, 2012, vol. 56, issue 1, 151-172

Abstract: Stochastic volatility (SV) models have been considered as a real alternative to time-varying volatility of the ARCH family. Existing asymmetric SV (ASV) models treat volatility asymmetry via the leverage effect hypothesis. Generalised ASV models that take account of both volatility asymmetry and normality violation expressed simultaneously by skewness and excess kurtosis are introduced. The new generalised ASV models are estimated using the Bayesian Markov Chain Monte Carlo approach for parametric and log-volatility estimation. By using simulated and real financial data series, the new models are compared to existing SV models for their statistical properties, and for their estimation performance in within and out-of-sample periods. Results show that there is much to gain from the introduction of the generalised ASV models.

Keywords: Stochastic; volatility; Leverage; effect; Noncentral-t; distribution; Skew-normal; distribution; Skew-t; distribution; Metropolis-Hastings; MCMC; DIC; Model; selection; Forecasting; evaluation (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:1:p:151-172

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