Bayesian Estimation of Irregular Stochastic Volatility Model for Developed and Emerging Stock Market

2018 ◽  
pp. 37-47
Author(s):  
Kirti Arekar ◽  
Rinku Jain ◽  
Surender Kumar
Keyword(s):  
Stock Market ◽  
Bayesian Estimation ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model

scholarly journals Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors

2016 ◽  
Vol 5 (4) ◽  
pp. 102 ◽  
Author(s):  
Sujay Mukhoti ◽  
Pritam Ranjan
Keyword(s):  
Stock Market ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Correlated Errors ◽  
The Past ◽  
Volatility Models ◽  
Volatility Model ◽  
Zero Correlation ◽  
Desirable Feature ◽  
Analytical Expressions

In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by  stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated, which is unrealistic. It turns out that if a non-zero correlation is included in the SVM (e.g., \cite{Shephard05}), then the expected log-return at time $t$ conditional on the past returns is non-zero, which is not a desirable feature of an efficient stock market. In this paper, we propose a mean-correction for such an SVM for discrete-time returns with non-zero correlation. We also find closed form analytical expressions for higher moments of log-return and its lead-lag correlations with the volatility process. We compare the performance of the proposed and classical SVMs on S\&P 500 index returns obtained from NYSE.

Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model

2013 ◽  
Vol 17 (3) ◽  
pp. 721-738 ◽  
Author(s):  
C. A. Abanto-Valle ◽  
V. H. Lachos ◽  
Dipak K. Dey
Keyword(s):  
Bayesian Estimation ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model
Sign in / Sign up

Export Citation Format

Share Document