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• W2146188020 abstract "The stochastic volatility model enjoys great success in modeling the time- varying volatility of asset returns. There are several specifications for volatility includ- ing the most popular one which allows logarithmic volatility to follow an autoregressive Gaussian process, known as log-normal stochastic volatility. However, from an economet- ric viewpoint, we lack a procedure to choose an appropriate functional form for volatility. Instead of the log-normal specification, Yu, Yang and Zhang (2002) assumed Box-Cox transformed volatility follows an autoregressive Gaussian process. However, the empirical evidence they found from currency markets is not strong enough to support the Box-Cox transformation against the alternatives, and it is necessary to seek further empirical evi- dence from the equity market. This paper develops a sampling algorithm for the Box-Cox stochastic volatility model with a leverage effect incorporated. When the model and the sampling algorithm are applied to the equity market, we find strong empirical evidence to support the Box-Cox transformation of volatility. In addition, the empirical study shows that it is important to incorporate the leverage effect into stochastic volatility models when the volatility of returns on a stock index is under investigation." @default.
• W2146188020 created "2016-06-24" @default.
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• W2146188020 date "2003-04-01" @default.
• W2146188020 modified "2023-09-22" @default.
• W2146188020 title "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation" @default.
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• W2146188020 doi "https://doi.org/10.4225/03/59389a6616245" @default.
• W2146188020 hasPublicationYear "2003" @default.
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