Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation

IF 1.2 Q3 BUSINESS, FINANCE Journal of Emerging Market Finance Pub Date : 2018-10-10 DOI:10.1177/0972652718800560
Willy Alanya, G. Rodríguez
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引用次数: 6

Abstract

This study is one of the first to utilize the stochastic volatility (SV) model to modelling the Peruvian financial times series. We estimate and compare this model with generalized autoregressive conditional heteroscedasticity (GARCH) models with normal and t-student errors. The analysis in this study corresponds to Peru’s stock market and exchange rate returns. The importance of this methodology is that the adjustment of the data is better than the GARCH models, using the assumptions of normality in both models. In the case of the SV model, three Bayesian algorithms have been employed where we evaluate their respective inefficiencies in the estimation of the model’s parameters—the most efficient being the integration sampler. The estimated parameters in the SV model under the various algorithms are consistent, as they display little inefficiency. The figures of the correlations of the iterations suggest that there are no problems at the time of Markov chaining in all estimations. We find that the volatilities in the exchange rate and stock market volatilities follow similar patterns over time. That is, when economic turbulence caused by the economic circumstances occurred, for example, the Asian crisis and the recent crisis in the USA, considerable volatility was generated in both markets. JEL Classification: C22
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秘鲁股市的随机波动性与汇率回报率:贝叶斯近似
本研究是首次利用随机波动率(SV)模型对秘鲁金融时报系列进行建模的研究之一。我们估计并比较了该模型与具有正态和t-研究误差的广义自回归条件异方差(GARCH)模型。本研究中的分析与秘鲁的股票市场和汇率回报率相对应。该方法的重要性在于,使用两个模型中的正态性假设,数据的调整比GARCH模型更好。在SV模型的情况下,我们使用了三种贝叶斯算法来评估它们在估计模型参数方面的效率,其中最有效的是积分采样器。在各种算法下,SV模型中的估计参数是一致的,因为它们几乎没有效率。迭代的相关性图表明,在所有估计中,在马尔可夫链时都不存在问题。我们发现,随着时间的推移,汇率的波动性和股市的波动性遵循相似的模式。也就是说,当经济环境引起的经济动荡发生时,例如亚洲危机和美国最近的危机,这两个市场都产生了相当大的波动。JEL分类:C22
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来源期刊
CiteScore
1.80
自引率
33.30%
发文量
19
期刊介绍: The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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