Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods

被引：3

作者：

Abanto-Valle, Carlos A. ^{[1
]}

Rodriguez, Gabriel ^{[2
]}

Garrafa-Aragon, Hernan B. ^{[3
]}

机构：

[1] Univ Fed Rio de Janeiro, Dept Stat, Caixa Postal 68530, BR-21945970 Rio De Janeiro, Brazil

[2] Pontificia Univ Catolica Peru, Dept Econ, 1801 Univ Ave, Lima 32, Peru

[3] Univ Nacl Ingn, Escuela Ingn Estadist, Lima, Peru

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2021年 / 80卷

关键词：

Feed-back effect; Hamiltonian Monte Carlo; Markov Chain Monte Carlo; Non linear state space models; Stochastic Volatility in Mean; Stock Latin American markets; Riemannian Manifold Hamiltonian Monte Carlo; LEVEL SHIFTS; LONG-MEMORY; MODEL; DISTRIBUTIONS;

D O I：

10.1016/j.qref.2021.02.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Stochastic Volatility in Mean (SVM) model of Koopman and Uspensky (2002) is revisited. An empirical study of five Latin American indexes in order to see the impact of the volatility in the mean of the returns is performed. Markov Chain Monte Carlo (MCMC) Hamiltonian dynamics is used to estimate latent volatilities and parameters. Our findings show that volatility has a negative impact on returns, indicating that volatility feedback effect is stronger than the effect related to the expected volatility. This result is clear and opposite to the finding of Koopman and Uspensky (2002). (c) 2021 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：272 / 286

页数：15

共 9 条

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Koopman, SJ
Uspensky, EH
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Rodriguez, Gabriel
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Nugroho, Didit B.
Morimoto, Takayuki
COMPUTATIONAL STATISTICS, 2015, 30 (02) : 491 - 516
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Didit B. Nugroho
Takayuki Morimoto
Computational Statistics, 2015, 30 : 491 - 516
[6] An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia
Rodriguez, Gabriel
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2018, 69 : 155 - 173
[7] Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory
Rodriguez, Gabriel
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2017, 42 : 393 - 420
[8] Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets
Abanto-Valle, Carlos A.
Rodriguez, Gabriel
Castro Cepero, Luis M.
Garrafa-Aragon, Hernan B.
COMPUTATIONAL ECONOMICS, 2024, 64 (03) : 1775 - 1801
[9] An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns (vol 69, pg 155, 2018)
Lengua Lafosse, Patricia
Rodriguez, Gabriel
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 81 : 510 - 510

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