Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/75130
Type: Artigo
Title: Stochastic volatility in mean models with heavy-tailed distributions
Author: Abanto-Valle, Carlos A.
Migon, Helio S.
Lachos, Victor H.
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.
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
Subject: Processos gaussianos
Misturas de escala (Estatística)
Métodos MCMC (Estatística)
Modelos estocásticos
Country: Brasil
Editor: Associação Brasileira de Estatística
Citation: Brazilian Journal Of Probability And Statistics. Brazilian Statistical Association, v. 26, n. 4, n. 402, n. 422, 2012.
Rights: fechado
Identifier DOI: 10.1214/11-BJPS169
Address: https://www.jstor.org/stable/43601226?seq=1#metadata_info_tab_contents
Date Issue: 2012
Appears in Collections:IMECC - Artigos e Outros Documentos

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