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Discrete-time stochastic volatility models and MCMC-based statistical inference

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  • Hautsch, Nikolaus
  • Ou, Yangguoyi

Abstract

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical applications and financial practice and can be straightforwardly extended in various directions. We illustrate empirical results based on different SV specifications using returns on stock indices and foreign exchange rates.

Suggested Citation

  • Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers 2008-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2008-063
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    References listed on IDEAS

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    Cited by:

    1. Saranya, K. & Prasanna, P. Krishna, 2018. "Estimating stochastic volatility with jumps and asymmetry in Asian markets," Finance Research Letters, Elsevier, vol. 25(C), pages 145-153.

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    More about this item

    Keywords

    Stochastic volatility; Markov chain Monte Carlo; Metropolis-Hastings algorithm Jump Processes;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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