統計学輪講（第５回）

統計学輪講（第5回）
日時      2014年05月20日(火)    14時50分～16時30分
場所      経済学部新棟３階第３教室
講演者    大森  裕浩 (経済)
演題：Realized stochastic volatility with leverage and long memory

概要
The daily return and the realized volatility are simultaneously modeled in the stochastic 
volatility model with leverage and long memory. The dependent variable in the stochastic 
volatility model is the logarithm of the squared return, and its error distribution is 
approximated by a mixture of normals. In addition, the logarithm of the realized volatility 
is incorporated into the measurement equation, assuming that the latent log volatility 
follows an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to 
describe its long memory property. The efficient Bayesian estimation method using 
Markov chain Monte Carlo method (MCMC) was proposed and implemented in the state space 
representation. Model comparisons are performed based on the marginal likelihood, 
and the volatility forecasting performances are investigated using S&P500 stock index returns.

This is a joint work with Shinichiro Shirota and Takayuki Hizu.