Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation
Título Revista
Econometrics and Statistics
Ano (publicação definitiva)
2020
Língua
Inglês
País
Países Baixos (Holanda)
Mais Informação
Web of Science®
Scopus
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Abstract/Resumo
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.
Agradecimentos/Acknowledgements
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Palavras-chave
Particle filtering,Leverage effect,SV models,Value-at-risk
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
- Economia e Gestão - Ciências Sociais
- Outras Ciências Sociais - Ciências Sociais
Registos de financiamentos
Referência de financiamento | Entidade Financiadora |
---|---|
UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |