RT Journal Article
T1 Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation
A1 Mao, Xiuping
A1 Czellar, Veronika
A1 Ruiz Ortega, Esther
A1 Lopes Moreira Da Veiga, María Helena
AB The statistical properties of a general family of asymmetric stochastic volatility (A-SV)models which capture the leverage effect in financial returns are derived providing analyt- ical expressions of moments and autocorrelations of power-transformed absolute returns.The parameters of the A-SV model are estimated by a particle filter-based simulated max- imum likelihood estimator and Monte Carlo simulations are carried out to validate it. Itis shown empirically that standard SV models may significantly underestimate the value- at-risk of weekly S&P 500 returns at dates following negative returns and overestimate itafter positive returns. By contrast, the general specification proposed provide reliable fore- casts at all dates. Furthermore, based on daily S&P 500 returns, it is shown that the mostadequate specification of the asymmetry can change over time.
PB Elsevier
SN 2452-3062
YR 2020
FD 2020-01-01
LK https://hdl.handle.net/10016/34968
UL https://hdl.handle.net/10016/34968
LA eng
NO We gratefully acknowledge the financial support from the Spanish Government, contract grants ECO2015-70331-C2-2-R and ECO2015-65701-P (MINECO/FEDER), the computer support from EUROFIDAI, and the FCT grant UID/GES/00315/2013.
DS e-Archivo
RD 27 jul. 2024