Bayesian testing volatility persistence in stochastic volatility models with jumps

• Main Authors: LIU, Xiaobin, LI, Yong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Bayesian analysis; Calibration of stochastic volatility; Bayesian statistics; Financial time series; Financial econometrics; Volatility modelling; Finance
• Online Access: 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
• Institution: Singapore Management University

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...