Model overview

January 5, 2015
Flgende modeller har jeg p nuvrende tidspunkt implementeret og estimeret ved hjlp af
PMMH og PG(AS).

Standard SV-model
yt

+ exp(ht /2)t

ht+1

+ (ht

) + t

where (yt ) are daily returns and (ht ) are the log-volatilities. In this model t , t N (0, 1) and
independent.

SV-model with leverage

where

yt

+ exp(ht /2)t

ht+1

+ (ht

) + t

1
(t , t ) N2 0,
1

SVt
yt

p
+ exp(ht /2) zt t

ht+1

+ (ht

) + t

where zt IG( 2 , 2 ) for all t, and t , t N (0, 1) and independent.

SVt-leverage
yt

p
+ exp(ht /2) zt t

ht+1

+ (ht
1

) + t

where zt IG( 2 , 2 ) for all t, and

1
(t , t ) N2 0,
1

SV GH-skew-t
yt

( (zt

ht+1

+ (ht

where zt IG( 2 , 2 ) for all t, z =

z ) +

zt t ) exp(ht /2)

) + t

and

1
(t , t ) N2 0,
1

Flgende tilfjelser til modellerne vil jeg gerne prve at implementere:

SV-model with leverage and jumps

yt

+ exp(ht /2)t + jt t

ht+1

+ (ht

) + t

where (jt ) are jump times, (t ) are jump sizes and

1
(t , t ) N2 0,
1

Realized SV-model
z ) +

yt

( (zt

zt t ) exp(ht /2)

xt

+ ht +

u ut

ht+1

+ (ht

) + t

where zt IG( 2 , 2 ) for all t, z = 2 . In this model

used as an auxiliary measurement variable.
0 2
1
(t , ut , t ) N3 @0, 4 0

(xt ) denotes log realized volatility and is

0
1
0

31

0 5A .
1