Abstract
We propose a simulation-based algorithm for inference in stochastic volatility models with possible regime switching in which the regime state is governed by a first-order Markov process. Using auxiliary particle filters we developed a strategy to sequentially learn about states and parameters of the model. The methodology is tested against a synthetic time series and validated with a real financial time series: the IBOVESPA stock index (São Paulo Stock Exchange).
Original language | English (US) |
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Pages (from-to) | 4526-4542 |
Number of pages | 17 |
Journal | Computational Statistics and Data Analysis |
Volume | 51 |
Issue number | 9 |
DOIs | |
State | Published - May 15 2007 |
Externally published | Yes |
Keywords
- Bayes factor
- Bayesian time series
- Markov chain Monte Carlo
- Particle filters
- Sequential analysis
- Stochastic volatility models
ASJC Scopus subject areas
- Statistics and Probability
- Computational Mathematics
- Computational Theory and Mathematics
- Applied Mathematics