Financial Time Series Analysis of SV Model by Hybrid Monte Carlo

@inproceedings{Takaishi2008FinancialTS,
  title={Financial Time Series Analysis of SV Model by Hybrid Monte Carlo},
  author={Tetsuya Takaishi},
  booktitle={International Conference on Intelligent Computing},
  year={2008}
}
  • T. Takaishi
  • Published in
    International Conference on…
     28 July 2008
  • Economics, Computer Science
We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility variables of the SV model in the Bayesian inference. We compute parameters of the SV model from the artificial financial data and compare the results from the HMC algorithm with those from the Metropolis algorithm. We find that the HMC decorrelates the volatility… 
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8 Citations
Background Citations
3
Methods Citations
2

8 Citations

Bayesian Inference of Stochastic volatility Model by Hybrid Monte Carlo

  • T. Takaishi
  • Computer Science, Economics
    J. Circuits Syst. Comput.
  • 2009
An empirical study for the time series of the Nikkei 225 stock index by the HMC algorithm finds the similar correlation behavior for the sampled data to the results from the artificial financial data and obtains a $\phi$ value close to one, which means that the timeseries has the strong persistency of the volatility shock.

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