Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA
In this paper, we present a Bayesian analysis for stochastic volatility models (SV) and a generalized form of this model, with the aim to estimate the volatilities of financial time series. Considering same special cases of the SV models, we use Markov Chain Monte Carlo methods and the software WinB...
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Published in | Economia aplicada Vol. 14; no. 1; pp. 25 - 40 |
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Main Authors | , , |
Format | Journal Article |
Language | Portuguese |
Published |
Riberao Preto
Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto-USP, Dept de Economia
01.03.2010
Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Universidade de São Paulo |
Subjects | |
Online Access | Get full text |
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Summary: | In this paper, we present a Bayesian analysis for stochastic volatility models (SV) and a generalized form of this model, with the aim to estimate the volatilities of financial time series. Considering same special cases of the SV models, we use Markov Chain Monte Carlo methods and the software WinBugs to get the posterior summaries of interest for the different forms of SV models. We also introduce some Bayesian discrimination methods to choose the best model to be used to estimate the volatilities and to get predictions of the financial time series. An example of application is introduced with the Brazilian financial series IBOVESPA. |
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ISSN: | 1413-8050 1980-5330 1980-5530 1980-5330 |
DOI: | 10.1590/S1413-80502010000100002 |