Stochastic Volatility and Realized Stochastic Volatility Models

Preface
Contents
1 Introduction
	1.1 Research Background
	1.2 Summary of Topics
	References
2 Stochastic Volatility Model
	2.1 Introduction
	2.2 Single-Move Sampler for the Symmetric SV Model
		2.2.1 Generation of θ=(µ, φ,ση2)'
		2.2.2 Generation of h
	2.3 Mixture Sampler
		2.3.1 Reformulation of the Measurement Equation
		2.3.2 MCMC Algorithm
		2.3.3 Correcting for Misspecification
	2.4 Multi-move Sampler
	2.5 Auxiliary Particle Filter
	2.6 Empirical Study
	2.7 Appendix
		2.7.1 Simulation Smoother
		2.7.2 Augmented Kalman Filter
	References
3 Asymmetric Stochastic Volatility Model
	3.1 Introduction
	3.2 Single-Move Sampler for the Asymmetric SV Model
		3.2.1 Generation of (µ,φ,ση2,ρ)
		3.2.2 Generation of h
	3.3 Mixture Sampler
		3.3.1 Reformulation of the Measurement Equation
		3.3.2 MCMC Algorithm
		3.3.3 Correcting for Misspecification
	3.4 Multi-move Sampler
	3.5 Auxiliary Particle Filter
	3.6 Empirical Study
	3.7 Appendix
		3.7.1 Simulation Smoother
		3.7.2 Augmented Kalman Filter
	References
4 Stochastic Volatility Model with Generalized Hyperbolic Skew Student's t Error
	4.1 Introduction
	4.2 Generalized Hyperbolic Skew Student's t Distribution
	4.3 SV Model with GH Skew Student's t Error
	4.4 MCMC Estimation
		4.4.1 Generation of (µ,φ,ση,ρ)
		4.4.2 Generation of (ν, β)
		4.4.3 Generation of λ and h
	4.5 News Impact Curve: Simulation-Based Method
		4.5.1 Simulation Example
	4.6 Empirical Study
	References
5 Realized Stochastic Volatility Model
	5.1 Introduction
	5.2 Realized Volatility
	5.3 Realized Stochastic Volatility Model
	5.4 RSV Model with GH Skewed Student's t Error
	5.5 MCMC Estimation
		5.5.1 Generation of (µ,φ,ση,ρ, ν, β) and λ
		5.5.2 Generation of ξ and σu
		5.5.3 Generation of h
	5.6 Evaluation of Forecasts
		5.6.1 Volatility, VaR, and ES Forecasts
		5.6.2 Loss Functions for Volatility
		5.6.3 A Joint Loss Function for VaR and ES
		5.6.4 Testing Relative Forecast Performance
	5.7 EGARCH and Realized EGARCH Models
	5.8 Empirical Study
		5.8.1 Estimation Results
		5.8.2 Prediction Results
	References