文章基本信息

标题：Realized Non-linear Stochastic Volatility Models with Asymmetric Effects and Generalized Student's t-Distributions
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作者：Didit Budi Nugroho ; Takayuki Morimoto
期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
印刷版ISSN：1882-2754
电子版ISSN：1348-6365
出版年度：2014
卷号：44
期号：1
页码：83-118
DOI：10.14490/jjss.44.83
出版社：JAPAN STATISTICAL SOCIETY
摘要：This study proposes a class of realized non-linear stochastic volatility models with asymmetric effects and generalized Student's t -error distributions by applying three families of power transformation—exponential, modulus, and Yeo-Johnson—to lagged log volatility. The proposed class encompasses a raw version of the realized stochastic volatility model. In the Markov chain Monte Carlo algorithm, an efficient Hamiltonian Monte Carlo (HMC) method is developed to update the latent log volatility and transformation parameter, whereas the other parameters that could not be sampled directly are updated by an efficient Riemann manifold HMC method. Empirical studies on daily returns and four realized volatility estimators of the Tokyo Stock Price Index (TOPIX) over 4-year and 8-year periods demonstrate statistical evidence supporting the incorporation of skew distribution into the error density in the returns and the use of power transformations of lagged log volatility.
关键词：Hamiltonian Monte Carlo;non-linear stochastic volatility;realized variance;skew distribution;TOPIX