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Download or read book An Empirical Application of Stochastic Volatility Models to Latin-American Stock Returns Using GH Skew Student's T-distribution written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Stochastic Volatility Model with GH Skew Student's T-distribution written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriel Rodriguez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book Modeling Latin-American Stock and Forex Markets Volatility written by Gabriel Rodriguez and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jouchi Nakajima
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book EGARCH and Stochastic Volatility written by Jouchi Nakajima and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies the empirical performance of different models including the stochastic volatility models with leverage, jumps and heavy-tailed errors for daily stock returns. In the framework of a Bayesian inference, the Markov chain Monte Carlo estimation methods for these models are illustrated with a simulation study. The model comparison based on the marginal likelihood estimation is provided with data on the U.S. stock index."--Author's abstract.
Author : Miguel Ataurima Arellano
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (1 download)
Download or read book Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models written by Miguel Ataurima Arellano and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alejandro Islas Camargo
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (51 download)
Download or read book Long Memory Stochastic Volatility Models of Latin American Stock Markets written by Alejandro Islas Camargo and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : José Carlos Gonzáles Tanaka
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns written by José Carlos Gonzáles Tanaka and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Miguel Ataurima Arellano
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility Using Markov-Switching Garch Models written by Miguel Ataurima Arellano and published by . This book was released on 2017 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chang Sun (M.S. in Statistics)
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (973 download)
Download or read book Modeling Stock Volatility with Stochastic ARCH, GARCH and Stochastic Volatility Model written by Chang Sun (M.S. in Statistics) and published by . This book was released on 2016 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling volatility within the log stock return is key to the stock price prediction. Despite numerous researches that modeled the volatility with conditional heavy-tailed error distributions, the unconditional distribution remains unknown. In this report, we use and follow the method introduced by Pitt and Walker (2005) by assigning a Student-t distribution for the marginal density of log return and constructing three models respectively, with similar structures to Autoregressive Conditional Heteroskedasticity (ARCH), Generalized ARCH (GARCH) and Stochastic Volatility model in a Bayesian way. We demonstrate the capability of the three models for stock price prediction with S&P 500 index and show that all our models outperform the standard GARCH model (Bollerslev, 1986).
Author : Victor Silverio Posadas Hernandez
Publisher : Springer Science & Business Media
ISBN 13 : 3835091034
Total Pages : 205 pages
Book Rating : 4.8/5 (35 download)
Download or read book Stock Market Anomalies written by Victor Silverio Posadas Hernandez and published by Springer Science & Business Media. This book was released on 2007-11-03 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?
Author : Carlos A. Abanto-Valle
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)
Download or read book Stochastic Volatility in Mean written by Carlos A. Abanto-Valle and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (927 download)
Download or read book An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns written by and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (935 download)
Download or read book An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns written by and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniele Massacci
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Two-Regime Threshold Model with Conditional Skewed Student T Distributions for Stock Returns written by Daniele Massacci and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t distribution within each regime: the model allows to capture time variation in the conditional distribution of returns, as well as higher order moments. An application of the model to daily U.S. stock returns illustrates the advantages of the proposed model in comparison to alternative specifications: the model performs well in terms of in-sample fit; it more accurately estimates the conditional volatility; and it produces useful risk assessment as measured by the term structure of value at risk.
Author : Noureddine Krichene
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (129 download)
Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Noureddine Krichene and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
Author : Zhongjun Qu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book A Stochastic Volatility Model with Random Level Shifts written by Zhongjun Qu and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical findings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for the appearance of long-memory and there is growing evidence suggesting that it may be an important feature of stock returns volatility. Nevertheless, it remains a conjecture that a model incorporating random level shifts in variance can explain the data well and produce reasonable forecasts. We show that a very simple stochastic volatility model incorporating both a random level shift and a short-memory component indeed provides a better in-sample fit of the data and produces forecasts that are no worse, and sometimes better, than standard stationary short and long-memory models. We use a Bayesian method for inference and develop algorithms to obtain the posterior distributions of the parameters and the smoothed estimates of the two latent components. We apply the model to daily S&P 500 and NASDAQ returns over the period 1980.1-2005.12. Although the occurrence of a level shift is rare, about once every two years, the level shift component clearly contributes most to the total variation in the volatility process. The half-life of a typical shock from the short-memory component is very short, on average between 8 and 14 days. We also show that, unlike common stationary short or long-memory models, our model is able to replicate keys features of the data. For the NASDAQ series, it forecasts better than a standard stochastic volatility model, and for the S&P 500 index, it performs equally well.
Author : Daniel R. Smith
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Stochastic Volatility Model with Fat Tails, Skewness and Leverage Effects written by Daniel R. Smith and published by . This book was released on 2007 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new stochastic volatility model that captures the three most important features of stock index returns: negative correlation between returns and future volatility, excess kurtosis and negative skewness. We estimate the model parameters by maximum likelihood using a numerical integration-based filter to deal with the latent nature of volatility. In this approach different models are defined by varying the joint density of returns and future volatility conditional on current volatility. Our innovation is to construct the joint conditional density using a copula. This approach is tremendously flexible and allows the econometrician to choose the marginal distribution of both returns and volatility independently and then stitch them together using a copula, which is also chosen independently, to form the joint density. We also develop conditional moment-based model specification tests for the extent to which the various stochastic volatility models are able to capture the skewness and excess kurtosis we observe in practice. The parameter estimates and conditional moment tests indicate that leverage effects, excess kurtosis and skewness are all crucial for modeling stock returns.
