Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. African Department.
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| ISBN: | 1451900090
9781451900095
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| Notes: | Includes bibliographical references (pages 26-28).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
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| Other form: | Print version: Krichene, Noureddine. Modeling stochastic volatility with application to stock returns. [Washington, D.C.] : International Monetary Fund, ©2003
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| Standard no.: | 10.5089/9781451900095.001
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