This paper represents empirical studies of stochastic volatility (SV) models for daily stocks returns data of a set of Latin American countries (Argentina, Brazil, Chile, Mexico and Peru) for the sample period 1996:01-2013:12. We estimate SV models incorporating both leverage effects and skewed heavy-tailed disturbances taking into account the GH Skew Student’s t-distribution using the Bayesian estimation method proposed by Nakajima and Omori (2012).
A model comparison between the competing SV models with symmetric Student´s t-disturbances is provided using the log marginal likelihoods in the empirical study. A prior sensitivity analysis is also provided. The results suggest that there are leverage effects in all indices considered but there is not enough evidence for Peru, and skewed heavy-tailed disturbances is confirmed only for Argentina, symmetric heavy-tailed disturbances for Mexico, Brazil and Chile, and symmetric Normal disturbances for Peru. Furthermore, we find that the GH Skew Student s t-disturbance distribution in the SV model is successful in describing the distribution of the daily stock return data for Peru, Argentina and Brazil over the traditional symmetric Student´s t-disturbance distribution.
Identifer | oai:union.ndltd.org:PUCP/oai:tesis.pucp.edu.pe:20.500.12404/6167 |
Date | 17 July 2015 |
Creators | Lengua Lafosse, Patricia |
Contributors | Bayes Rodríguez, Cristian Luis |
Publisher | Pontificia Universidad Católica del Perú, PE |
Source Sets | Pontificia Universidad Católica del Perú |
Language | English |
Detected Language | English |
Type | info:eu-repo/semantics/masterThesis |
Format | application/pdf |
Rights | info:eu-repo/semantics/openAccess, http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ |
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