Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market

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• 作者：Nima Nonejad ^{nimanonejad@gmail.com}
• 关键词：C11 ; C22 ; C58 ; C63
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：388-408
• 全文大小：1533 K
• 卷排序：61

文摘

Stochastic volatility (SV) models with fixed parameters can be too restrictive. We incorporate time-variation in the model parameters for different SV-type models. Applied to crude oil data, we find evidence of time-variation in the model parameters. Break SV models with leverage/Student’s t-distributed innovations perform best. The timing of parameter changes align with economic events.