Economics at your fingertips  

Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation

Jiří Witzany () and Milan Ficura ()

Czech Journal of Economics and Finance (Finance a uver), 2019, vol. 69, issue 5, 463-488

Abstract: The aim of this paper is to propose and test a novel Particle Filter method called Sequential Gibbs Particle Filter allowing to estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility model with independent jumps in returns and volatility. The implementation is based on a new design of adapted proposal densities making convergence of the model relatively efficient as verified on a testing dataset. The empirical study applies the algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange returns. The results indicate surprisingly weak jump in returns components and a relatively strong jump in volatility components with jumps in volatility appearing at the beginning of crisis periods.

Keywords: Bayesian methods; MCMC; Particle filters; stochastic volatility; jumps (search for similar items in EconPapers)
JEL-codes: C11 C15 G1 G2 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

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:

Access Statistics for this article

More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Lenka Herrmannova ().

Page updated 2020-07-04
Handle: RePEc:fau:fauart:v:69:y:2019:i:5:p:463-488