Modeling Stochastic Volatility with Application to Stock Returns /
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consiste...
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| 格式: | 杂志 |
| 语言: | English |
| 出版: |
Washington, D.C. :
International Monetary Fund,
2003.
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| 丛编: | IMF Working Papers; Working Paper ;
No. 2003/125 |
| 在线阅读: | Full text available on IMF |