Bayesian testing volatility persistence in stochastic volatility models with jumps
Whether or not there is a unit root persistence in volatility of financial assets has been a long-standing topic of interest to financial econometricians and empirical economists. The purpose of this article is to provide a Bayesian approach for testing the volatility persistence in the context of s...
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Institutional Knowledge at Singapore Management University
2014
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sg-smu-ink.soe_research-32012020-01-21T03:40:10Z Bayesian testing volatility persistence in stochastic volatility models with jumps LIU, Xiaobin LI, Yong Whether or not there is a unit root persistence in volatility of financial assets has been a long-standing topic of interest to financial econometricians and empirical economists. The purpose of this article is to provide a Bayesian approach for testing the volatility persistence in the context of stochastic volatility with Merton jump and correlated Merton jump. The Shanghai Composite Index daily return data is used for empirical illustration. The result of Bayesian hypothesis testing strongly indicates that the volatility process doesn’t have unit root volatility persistence in this stock market. 2014-08-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2202 info:doi/10.1080/14697688.2014.880124 https://ink.library.smu.edu.sg/context/soe_research/article/3201/viewcontent/Bayesian_testing_volatility_persistence_in_stochastic_volatility_models_with_jumps_2014_afv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Bayesian analysis Calibration of stochastic volatility Bayesian statistics Financial time series Financial econometrics Volatility modelling Finance |
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Bayesian analysis Calibration of stochastic volatility Bayesian statistics Financial time series Financial econometrics Volatility modelling Finance |
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Bayesian analysis Calibration of stochastic volatility Bayesian statistics Financial time series Financial econometrics Volatility modelling Finance LIU, Xiaobin LI, Yong Bayesian testing volatility persistence in stochastic volatility models with jumps |
| description |
Whether or not there is a unit root persistence in volatility of financial assets has been a long-standing topic of interest to financial econometricians and empirical economists. The purpose of this article is to provide a Bayesian approach for testing the volatility persistence in the context of stochastic volatility with Merton jump and correlated Merton jump. The Shanghai Composite Index daily return data is used for empirical illustration. The result of Bayesian hypothesis testing strongly indicates that the volatility process doesn’t have unit root volatility persistence in this stock market. |
| format |
text |
| author |
LIU, Xiaobin LI, Yong |
| author_facet |
LIU, Xiaobin LI, Yong |
| author_sort |
LIU, Xiaobin |
| title |
Bayesian testing volatility persistence in stochastic volatility models with jumps |
| title_short |
Bayesian testing volatility persistence in stochastic volatility models with jumps |
| title_full |
Bayesian testing volatility persistence in stochastic volatility models with jumps |
| title_fullStr |
Bayesian testing volatility persistence in stochastic volatility models with jumps |
| title_full_unstemmed |
Bayesian testing volatility persistence in stochastic volatility models with jumps |
| title_sort |
bayesian testing volatility persistence in stochastic volatility models with jumps |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2014 |
| url |
https://ink.library.smu.edu.sg/soe_research/2202 https://ink.library.smu.edu.sg/context/soe_research/article/3201/viewcontent/Bayesian_testing_volatility_persistence_in_stochastic_volatility_models_with_jumps_2014_afv.pdf |
| _version_ |
1770574357575237632 |