BUGS for a Bayesian analysis of stochastic volatility models

• Main Authors: Meyer, Renate, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2000
• Subjects: Stochastic volatility; Gibbs sampler; BUGS; Heavy-tailed distributions; Non-Gaussian nonlinear time series models; Leverage effect; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/502; https://ink.library.smu.edu.sg/context/soe_research/article/1501/viewcontent/SSRN_id267491__1_.pdf
• Institution: Singapore Management University

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Baye...