EGARCH and Stochastic Volatility
Author | : Jouchi Nakajima |
Publisher | : |
Total Pages | : 28 |
Release | : 2008 |
ISBN-10 | : UCSD:31822037271707 |
ISBN-13 | : |
Rating | : 4/5 (07 Downloads) |
Download or read book EGARCH and Stochastic Volatility written by Jouchi Nakajima and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies the empirical performance of different models including the stochastic volatility models with leverage, jumps and heavy-tailed errors for daily stock returns. In the framework of a Bayesian inference, the Markov chain Monte Carlo estimation methods for these models are illustrated with a simulation study. The model comparison based on the marginal likelihood estimation is provided with data on the U.S. stock index."--Author's abstract.