| dc.contributor | Bayes Rodríguez, Cristian Luis | |
| dc.creator | Lengua Lafosse, Patricia | |
| dc.date | 2015-07-17T15:34:04Z | |
| dc.date | 2015-07-17T15:34:04Z | |
| dc.date | 2015 | |
| dc.date | 2015-07-17 | |
| dc.identifier | http://hdl.handle.net/20.500.12404/6167 | |
| dc.description | This paper represents empirical studies of stochastic volatility (SV) models for daily stocks returns data of a set of Latin American countries (Argentina, Brazil, Chile, Mexico and Peru) for the sample period 1996:01-2013:12. We estimate SV models incorporating both leverage effects and skewed heavy-tailed disturbances taking into account the GH Skew Student’s t-distribution using the Bayesian estimation method proposed by Nakajima and Omori (2012).
A model comparison between the competing SV models with symmetric Student´s t-disturbances is provided using the log marginal likelihoods in the empirical study. A prior sensitivity analysis is also provided. The results suggest that there are leverage effects in all indices considered but there is not enough evidence for Peru, and skewed heavy-tailed disturbances is confirmed only for Argentina, symmetric heavy-tailed disturbances for Mexico, Brazil and Chile, and symmetric Normal disturbances for Peru. Furthermore, we find that the GH Skew Student s t-disturbance distribution in the SV model is successful in describing the distribution of the daily stock return data for Peru, Argentina and Brazil over the traditional symmetric Student´s t-disturbance distribution. | |
| dc.language | eng | |
| dc.publisher | Pontificia Universidad Católica del Perú | |
| dc.publisher | PE | |
| dc.rights | Atribución-NoComercial-SinDerivadas 2.5 Perú | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | |
| dc.subject | Estadística bayesiana | |
| dc.subject | Análisis estocástico | |
| dc.subject | Bolsa de Valores | |
| dc.subject | https://purl.org/pe-repo/ocde/ford#1.01.03 | |
| dc.title | An empirical application of stochastic volatility models to Latin-American stock returns using GH skew student's t-distribution | |
| dc.type | info:eu-repo/semantics/masterThesis | |
