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Simulated likelihood inference for stochastic volatility models using continuous particle filtering
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Pitt, Michael K., Malik, Sheheryar and Doucet, Arnaud (2014) Simulated likelihood inference for stochastic volatility models using continuous particle filtering. Annals of the Institute of Statistical Mathematics, Volume 66 (Number 3). pp. 527-552. doi:10.1007/s10463-014-0456-y ISSN 0020-3157.
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WRAP_Pitt_9971334-ec-080914-aism-d-13-00049final.pdf - Accepted Version - Requires a PDF viewer. Download (1402Kb) | Preview |
Official URL: http://dx.doi.org/10.1007/s10463-014-0456-y
Abstract
Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold. First, we propose a new SV model, namely SV–GARCH, which bridges the gap between SV and GARCH models: it has the attractive feature of inheriting unconditional properties similar to the standard GARCH model but being conditionally heavier tailed. Second, we propose a likelihood-based inference technique for a large class of SV models relying on the recently introduced continuous particle filter. The approach is robust and simple to implement. The technique is applied to daily returns data for S&P 500 and Dow Jones stock price indices for various spans.
| Item Type: | Journal Article | ||||
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| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Economics | ||||
| Library of Congress Subject Headings (LCSH): | Econometric models | ||||
| Journal or Publication Title: | Annals of the Institute of Statistical Mathematics | ||||
| Publisher: | Springer | ||||
| ISSN: | 0020-3157 | ||||
| Official Date: | 4 April 2014 | ||||
| Dates: |
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| Volume: | Volume 66 | ||||
| Number: | Number 3 | ||||
| Page Range: | pp. 527-552 | ||||
| DOI: | 10.1007/s10463-014-0456-y | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Date of first compliant deposit: | 28 December 2015 | ||||
| Date of first compliant Open Access: | 28 December 2015 |
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