The Split-SV model
Abstract
A modification of one of the most popular stochastic model in describing financial indexes dynamics is introduced. For describing a nonlinear behavior of volatility, a threshold noise indicator in the autoregressive time series of stochastic volatility is used. Toward this end, the model named the Split-SV model is introduced and its basic stochastic properties are investigated. Furthermore, the Empirical Characteristic Function (ECF) method is used for obtaining the parameter estimations of the model and a numerical simulation of the obtained estimates is given as well. Finally, the Split-SV model is applied for fitting the empirical data: the daily returns of the exchange rates of GBP and USD per euro.
Keywords:
Split-SV process / Noise-indicator / Contaminated Gaussian distribution / Convolutions / empirical characteristic function estimationSource:
Computational Statistics and Data Analysis, 2016, 100, 560-581Publisher:
- Amsterdam : Elsevier
Collections
Institution/Community
JakovTY - JOUR AU - Stojanović, Vladica S. AU - Popović, Biljana Č. AU - Milovanović, Gradimir V. PY - 2016 UR - https://jakov.kpu.edu.rs/handle/123456789/1638 AB - A modification of one of the most popular stochastic model in describing financial indexes dynamics is introduced. For describing a nonlinear behavior of volatility, a threshold noise indicator in the autoregressive time series of stochastic volatility is used. Toward this end, the model named the Split-SV model is introduced and its basic stochastic properties are investigated. Furthermore, the Empirical Characteristic Function (ECF) method is used for obtaining the parameter estimations of the model and a numerical simulation of the obtained estimates is given as well. Finally, the Split-SV model is applied for fitting the empirical data: the daily returns of the exchange rates of GBP and USD per euro. PB - Amsterdam : Elsevier T2 - Computational Statistics and Data Analysis T1 - The Split-SV model VL - 100 SP - 560 EP - 581 DO - 10.1016/j.csda.2014.08.010 ER -
@article{ author = "Stojanović, Vladica S. and Popović, Biljana Č. and Milovanović, Gradimir V.", year = "2016", abstract = "A modification of one of the most popular stochastic model in describing financial indexes dynamics is introduced. For describing a nonlinear behavior of volatility, a threshold noise indicator in the autoregressive time series of stochastic volatility is used. Toward this end, the model named the Split-SV model is introduced and its basic stochastic properties are investigated. Furthermore, the Empirical Characteristic Function (ECF) method is used for obtaining the parameter estimations of the model and a numerical simulation of the obtained estimates is given as well. Finally, the Split-SV model is applied for fitting the empirical data: the daily returns of the exchange rates of GBP and USD per euro.", publisher = "Amsterdam : Elsevier", journal = "Computational Statistics and Data Analysis", title = "The Split-SV model", volume = "100", pages = "560-581", doi = "10.1016/j.csda.2014.08.010" }
Stojanović, V. S., Popović, B. Č.,& Milovanović, G. V.. (2016). The Split-SV model. in Computational Statistics and Data Analysis Amsterdam : Elsevier., 100, 560-581. https://doi.org/10.1016/j.csda.2014.08.010
Stojanović VS, Popović BČ, Milovanović GV. The Split-SV model. in Computational Statistics and Data Analysis. 2016;100:560-581. doi:10.1016/j.csda.2014.08.010 .
Stojanović, Vladica S., Popović, Biljana Č., Milovanović, Gradimir V., "The Split-SV model" in Computational Statistics and Data Analysis, 100 (2016):560-581, https://doi.org/10.1016/j.csda.2014.08.010 . .