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Continuous Time Stochastic Volatility Models with Regime Shift

来源:湖南大学经济与管理研究中心  日期:2015-08-28 人气:

主   题:Continuous Time Stochastic Volatility Models with Regime Shift


主讲人:Dr. Yuan Di
        Assistant Professor, College of Finance and Statistics,HNU


时   间:16:10 - 17:35, May,4th (Mon.), 2015.


地   点:No.2 Teaching Building, Room 204 (二教204)


摘  要:In this paper, we estimate regime-switching Heston, GARCH, and CEV stochastic volatility models where all parameters are allowed to vary depending on the state of the economy. Because the true transition density functions of these stochastic volatility models are unknown, we have adopted the irreducible method in At-Sahalia (2008) to obtain approximate log-likelihood functions of our models. Using S&P 500 and VIX data for the stock price and volatility proxy,respectively, we investigate which model can describe the dynamics of data better. The likelihood has been computed using Hamilton (1989) algorithm to conduct maximum likelihood estimation. We found strong evidence of regime shifts for all models. The CEV model is statistically preferred to other two nested models in explaining dynamics of data.

 

主要嘉宾简介:

湖南大学金融与统计学院助理教授;澳大利亚阿德莱德大学经济学博士;湖南大学经济学硕士;本科毕业于湖南大学计算机科学与技术专业。主要研究领域包括金融计量和计量经济学等。