Bayesian Analysis of a Markov Switching Stochastic Volatility Model
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- Shibata Mai
- Research Associate, Institute for Monetary and Economic Studies, Bank of Japan
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- Watanabe Toshiaki
- Senior Fellow, Institute for Monetary and Economic Studies, Bank of Japan
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This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based on the maximum likelihood method, a Bayesian Markov-chain Monte Carlo (MCMC) approach is adopted. A particle filter for the MSSV model, which is used for model comparison and diagnostics, is constructed. The estimation result, based on weekly returns of the TOPIX, confirms the finding by previous researchers that the estimate of the persistence parameter drops and the estimate of the error variance rises in the volatility equation of the MSSV model compared to those of the standard SV model. The model comparison provides evidence that the MSSV model is favored over the standard SV model. It is also found that the MSSV model passes the diagnostic tests based on the statistics obtained from the particle filter while the SV model does not.
収録刊行物
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 35 (2), 205-219, 2005
日本統計学会
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詳細情報
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- CRID
- 1390001205287685248
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- NII論文ID
- 110003495323
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- NII書誌ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- NDL書誌ID
- 7966698
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 使用不可