Bayesian Heavy-tailed Stochastic Volatility Model in Finance Analysis Based on MCMC Simulation
Zhu Hui-ming, Feng Li, Yang Jin-ming, Keming Yu · Jisuanji fangzhen · 2008
Our country's finance time series exist the universal phenomenon of volatility, and the volatility has the property of Peak and heavy-tail. The first is to analyze Bayesian heavy-tail finance stochastic volatility model reflecting the volatility characteristic. The second is to design a Markov chain Monte Carlo algorithm procedure with Gibbs sampler to carry on simulation analysis. At last the SV-N model and SV-T model in the quality were compared using the DIC criterion. The findings indicate that, in simulating the volatility of stock market of China, the SV-T model is superior to the SV-N model, which can characterize the leptokurtic of stock returns in stock market of China. It is proved that the stock market in china has a high persistence of volatility.