Abstract
Applications of Birnbaum-Saunders Distribution in Modelling Stochastic Volatility
by
N Balakrishna
In this paper we propose a method of constructing a Markov sequence with one-dimensional Birnbaum-Saunders (BS) stationary distribution using a first order Gaussian autoregressive sequence. A parameter-driven stochastic volatility model is constructed using this BS Markov sequence to describe the evolution of financial returns. The parameters of the resulting model are estimated using a method of efficient important sampling. A simulation study is conducted to illustrate the method of estimation and data sets are analysed to highlight the applications of the model.
Committee
Workshop
Key Dates
Communication
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