Ciência-IUL
Publications
Publication Detailed Description
Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation
Journal Title
Econometrics and Statistics
Year (definitive publication)
2020
Language
English
Country
Netherlands
More Information
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Abstract
The statistical properties of a general family of asymmetric stochastic volatility (A-SV) models which capture the leverage effect in financial returns are derived providing analytical expressions of moments and autocorrelations of power-transformed absolute returns. The parameters of the A-SV model are estimated by a particle filter-based simulated maximum likelihood estimator and Monte Carlo simulations are carried out to validate it. It is shown empirically that standard SV models may significantly underestimate the value-at-risk of weekly S&P 500 returns at dates following negative returns and overestimate it after positive returns. By contrast, the general specification proposed provide reliable forecasts at all dates. Furthermore, based on daily S&P 500 returns, it is shown that the most adequate specification of the asymmetry can change over time.
Acknowledgements
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Keywords
Particle filtering,Leverage effect,SV models,Value-at-risk
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
- Economics and Business - Social Sciences
- Other Social Sciences - Social Sciences
Funding Records
Funding Reference | Funding Entity |
---|---|
UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |