Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models

Details Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models

2010-02-10

arxiv.org/abs/1002.2017v1

Statistics

Computation

32 pages, 3 Figures

Scientific paper

An MCMC simulation method based on a two stage delayed rejection Metropolis-Hastings algorithm is proposed to estimate a factor multivariate stochastic volatility model. The first stage uses kstep iteration towards the mode, with k small, and the second stage uses an adaptive random walk proposal density. The marginal likelihood approach of Chib (1995) is used to choose the number of factors, with the posterior density ordinates approximated by Gaussian copula. Simulation and real data applications suggest that the proposed simulation method is computationally much more efficient than the approach of Chib. Nardari and Shephard (2006}. This increase in computational efficiency is particularly important in calculating marginal likelihoods because it is necessary to carry out the simulation a number of times to estimate the posterior ordinates for a given marginal likelihood. In addition to the MCMC method, the paper also proposes a fast approximate EM method to estimate the factor multivariate stochastic volatility model. The estimates from the approximate EM method are of interest in their own right, but are especially useful as initial inputs to MCMC methods, making them more efficient computationally. The methodology is illustrated using simulated and real examples.

Affiliated with

Also associated with

No associations

Rating

Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-238414