Bayesian Estimation And Empirical Analysis Of SV Model Based On MCMC Method

Since the stochastic volatility model was established,it has been widely used in the modeling of financial time series.However,the traditional likelihood function is extremely complex,due to the hidden nature of the volatility of the SV model,which leads to some difficulties in the SV model in the maximum likelihood estimation.The Bayes method combines the prior and posterior distributions of parameters,which has certain advantages in the parameter estimation of SV model.The Bayes estimation based on MCMC method has a good accuracy in practical applications.Therefore,in this paper,the Bayes method is used to study the parameter estimation of SV model,and the MCMC method is used to calculate and analyze.According to the results of parameter estimation,we can see that the simulation results of the thick tailed SV model are better than the standard SV model.In this paper,we mainly study the parameter estimation method of SV model,in which the standard SV model and the thick tailed SV model are compared.The main contents are as follows:1.The paper introduces the volatility of financial market,the characteristics of volatility in financial time series and the corresponding preliminary knowledge.2.In this paper,the standard SV model and the thick tailed SV model are carried on the detailed structural analysis,and the likelihood function of the SV model is obtained.3.In this paper,the MCMC method is used in the parameter estimation of the SV model.This method combines the Bayesian estimation method,and the Gibbs sampling method.In Bayesian estimation,the theoretical formula of the posterior distribution is derived.The posterior distribution theory is applied to the SV model,and the posterior distribution function of each parameter to be estimated in the standard SV model and the thick tailed SV model is derived.4.In the empirical analysis,the results of parameter estimation are obtained by using WinBugs software.According to the fitting results of the model and the comparison of the DIC values of the model,the results obtained through the analysis of simulation results of the standard SV model and the thick tailed SV model comparison,get the fitting effect of thick tailed SV model is better.