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• W2078460443 abstract "Stochastic Volatility (SV) model usually assumes that the distribution of asset returns conditional on the latent volatility is normal. Previous approaches to estimation of SV model have mostly focused on Gaussian filters in practice. This paper analyzes SV model with the student-t distribution and compares the distribution with mixture-of-normal distributions of Kim and Stoffer [22]. A Sequential Monte Carlo with Expectation–Maximization (SMCEM) technique based on student-t distribution is developed to estimate the parameters for the extended volatility model. The SMC method, or particle filter based on student-t distribution, which is heavier tailed than Gaussians, provides an approximate solution to non-Gaussian estimation problem and hence more robust. Our empirical analysis indicates that extension of the SV model such as a specification of the error term with student-t distribution in the return equation dominates the normal mixture distribution. Additionally, the t-distribution based particle filter is applied to a multivariate stochastic volatility model. It is again shown that the student-t based algorithm performs quite well in explaining the joint dynamics in the volatility of a set of four exchange rates series." @default.
• W2078460443 created "2016-06-24" @default.
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• W2078460443 date "2015-08-01" @default.
• W2078460443 modified "2023-09-26" @default.
• W2078460443 title "A t-distribution based particle filter for univariate and multivariate stochastic volatility models" @default.
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• W2078460443 doi "https://doi.org/10.1016/j.jnnms.2014.11.002" @default.
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