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Identifier to cite or link to this item: https://hdl.handle.net/10086/23220

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Title
News Impact Curve for Stochastic Volatility Models
Creator
Creator Name
Takahashi, Makoto Takahashi, Makoto
Affiliation
Affiliation Name
Northwestern University
Creator Name
Omori, Yasuhiro Omori, Yasuhiro
大森, 裕浩 大森, 裕浩
Affiliation
Affiliation Name
University of Tokyo
Creator Name
Watanabe, Toshiaki Watanabe, Toshiaki
渡部, 敏明 渡部, 敏明
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Abstract
This paper proposes a new method to compute the news impact curve for stochastic volatility (SV) models. The new method incorporates the joint movement of return and volatility, which has been ignored by the extant literature, by simply adding a couple of steps to the Bayesian MCMC estimation procedures for SV models. This simple procedure is versatile and applicable to various SV type models. Contrary to the monotonic news impact functions in the extant literature, the new method gives a U-shaped news impact curve comparable to GARCH models. It also captures the volatility asymmetry for the asymmetric SV models.
Description
41153
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2012-09
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 242
Number of Pages
10
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/23220