Arbeitspapier
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model for the realized volatility series. It emerges that during the recent financial crisis the relative weight of the daily component dominates over the monthly term. The estimates of the two factor stochastic volatility model suggest that the change in the dynamic structure of the realized volatility during the financial crisis is due to the increase in the volatility of the persistent volatility term. A set of Monte Carlo simulations highlights th correctness of the methodology adopted to extract the variability in the parameters.
- Language
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Englisch
- Bibliographic citation
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Series: School of Economics Discussion Papers ; No. 1404
- Classification
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Wirtschaft
Financial Crises
Mathematical and Quantitative Methods: General
Bayesian Analysis: General
Financial Econometrics
- Subject
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Time-Varying Parameters
On-line Kalman Filter
Simulation-based inference
Predictive Likelihood
Volatility Factors
- Event
-
Geistige Schöpfung
- (who)
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Grassi, Stefano
Santucci de Magistris, Paolo
- Event
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Veröffentlichung
- (who)
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University of Kent, School of Economics
- (where)
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Canterbury
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Grassi, Stefano
- Santucci de Magistris, Paolo
- University of Kent, School of Economics
Time of origin
- 2013
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