Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/75130
Type: Artigo de periódico
Title: Stochastic volatility in mean models with heavy-tailed distributions
Author: Abanto-Valle, CA
Migon, HS
Lachos, VH
Abstract: A stochastic volatility in mean (SVM) model using the class of symmetric scale mixtures of normal (SMN) distributions is introduced in this article. The SMN distributions form a class of symmetric thick-tailed distributions that includes the normal one as a special case, providing a robust alternative to estimation in SVM models in the absence of normality. A Bayesian method via Markov-chain Monte Carlo (MCMC) techniques is used to estimate parameters. The deviance information criterion (DIC) and the Bayesian predictive information criteria (BPIC) are calculated to compare the fit of distributions. The method is illustrated by analyzing daily stock return data from the Sao Paulo Stock, Mercantile & Futures Exchange index (IBOVESPA). According to both model selection criteria as well as out-of-sample forecasting, we found that the SVM model with slash distribution provides a significant improvement in model fit as well as prediction for the IBOVESPA data over the usual normal model.
Subject: Feedback effect
Markov chain Monte Carlo
non-Gaussian and nonlinear state space models
scale mixture of normal distributions
stochastic volatility in mean
Country: Brasil
Editor: Brazilian Statistical Association
Rights: fechado
Identifier DOI: 10.1214/11-BJPS169
Date Issue: 2012
Appears in Collections:Unicamp - Artigos e Outros Documentos

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