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Exact Likelihood for Inverse Gamma Stochastic Volatility Models
https://doi.org/10.24545/0002000096
https://doi.org/10.24545/0002000096fe0b5a18-13ba-443b-9d8e-2572dcc0ba17
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP24-3.pdf
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2024-04-24 | |||||||||
| タイトル | ||||||||||
| タイトル | Exact Likelihood for Inverse Gamma Stochastic Volatility Models | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Hypergeometric Function | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Particle Filter | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Parallel Computing | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Euler Acceleration | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ | technical report | |||||||||
| ID登録 | ||||||||||
| ID登録 (DOI) | 10.24545/0002000096 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 著者 |
LEON-GONZALEZ, Roberto
× LEON-GONZALEZ, Roberto
× MAJONI, Blessings
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| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies, The Rimini Centre for Economic Analysis (RCEA) | |||||||||
| 著者所属 | ||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | We obtain a novel analytic expression of the likelihood for a stationary inverse gamma Stochastic Volatility (SV) model. This allows us to obtain the Maximum Likelihood Estimator for this non linear non Gaussian state space model. Further, we obtain both the filtering and smoothing distributions for the inverse volatilities as mixtures of gammas and therefore we can provide the smoothed estimates of the volatility. We show that by integrating out the volatilities the model that we obtain has the resemblance of a GARCH in the sense that the formulas are similar, which simplifies computations significantly. The model allows for fat tails in the observed data. We provide empirical applications using exchange rates data for 7 currencies and quarterly inflation data for four countries. We find that the empirical fit of our proposed model is overall better than alternative models for 4 countries currency data and for 2 countries inflation data. | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | JEL: C32, C59 | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | MSC: 62M10, 62F99, 62J99, 60J06 | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | The authors acknowledge financial support from the Japan Society for the Promotion of Science (JSPS) under grant 19K01588. | |||||||||
| 発行年 | ||||||||||
| 値 | 2024-04 | |||||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. 24-3, 発行日 2024-04-24 |
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| 出版者 | ||||||||||
| 出版者 | GRIPS Policy Research Center | |||||||||
| 言語 | en | |||||||||
| 著者情報 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ | |||||||||
| 内容注記 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | First version: August, 2023 [23-7] https://grips.repo.nii.ac.jp/records/2000003 | |||||||||
| 著者版フラグ | ||||||||||
| 出版タイプ | AM | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||
