Aknouche, Abdelhakim (2013): Periodic autoregressive stochastic volatility. Published in: Statistical Inference for Stochastic Processes
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Abstract
This paper proposes a stochastic volatility model (PARSV) in which the logvolatility follows a firstorder periodic autoregression. This model aims at representing time series with volatility displaying a stochastic periodic dynamic structure, and may then be seen as an alternative to the familiar periodic GARCH process. The probabilistic structure of the proposed PARSV model such as periodic stationarity and autocovariance structure are first studied. Then, parameter estimation is examined through the quasimaximum likelihood (QML) method where the likelihood is evaluated using the prediction error decomposition approach and Kalman filtering. In addition, a Bayesian MCMC method is also considered, where the posteriors are given from conjugate priors using the Gibbs sampler in which the augmented volatilities are sampled from the Griddy Gibbs technique in a singlemove way. As abyproduct, period selection for the PARSV is carried out using the (conditional) Deviance Information Criterion (DIC). A simulation study is undertaken to assess the performances of the QML and Bayesian Griddy Gibbs estimates. Applications of Bayesian PARSV modeling to daily, quarterly and monthly S&P 500 returns are considered.
Item Type:  MPRA Paper 

Original Title:  Periodic autoregressive stochastic volatility 
English Title:  Periodic autoregressive stochastic volatility 
Language:  English 
Keywords:  Periodic stochastic volatility, periodic autoregression, QML via prediction error decomposition and Kalman filtering, Bayesian Griddy Gibbs sampler, singlemove approach, DIC. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C11  Bayesian Analysis: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics 
Item ID:  83083 
Depositing User:  Prof. Abdelhakim Aknouche 
Date Deposited:  04 Dec 2017 07:18 
Last Modified:  04 Dec 2017 07:20 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/83083 
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Periodic autoregressive stochastic volatility. (deposited 18 Feb 2016 12:00)
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