BUGS for a Bayesian Analysis of Stochastic Volatility Models

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dc.contributor.author Meyer, Renate en
dc.contributor.author Yu, Jun en
dc.date.accessioned 2006-11-30T20:53:43Z en
dc.date.available 2006-11-30T20:53:43Z en
dc.date.issued 2000 en
dc.identifier.citation Department of Economics Working Paper Series 211 en
dc.identifier.uri http://hdl.handle.net/2292/206 en
dc.description.abstract This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Bayesian Inference Using Gibbs Sampling), a recently developed, user-friendly, and freely available software package. It is an ideal software tool for the exploratory phase of model building as any modifications of a model including changes of priors and sampling error distributions are readily realized with only minor changes of the code. BUGS automates the calculation of the full conditional posterior distributions using a model representation by directed acyclic graphs. It contains an expert system for choosing an efficient sampling method for each full conditional. Furthermore, software for convergence diagnostics and statistical summaries is available for the BUGS output. The BUGS implementation of a stochastic volatility model is illustrated using a time series of daily Pound/Dollar exchange rates. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher ResearchSpace@Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.subject.other Stochastic Volatility en
dc.subject.other Economics en
dc.title BUGS for a Bayesian Analysis of Stochastic Volatility Models en
dc.type Working Paper en
dc.rights.holder Copyright: the author en
pubs.org-id Economics en

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