Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/20383
Author(s): | Mao, X. Czellar, V. Ruiz, E. Veiga, H. |
Date: | 2020 |
Title: | Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation |
Volume: | 13 |
Pages: | 84 - 105 |
ISSN: | 2452-3062 |
DOI (Digital Object Identifier): | 10.1016/j.ecosta.2019.08.002 |
Keywords: | Particle filtering Leverage effect SV models Value-at-risk |
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. |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
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1-s2.0-S2452306219300486-main.pdf | Versão Editora | 3,79 MB | Adobe PDF | View/Open |
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