On the Normal Inverse Gaussian Stochastic Volatility Model
Bibliographic Data
| ID | 19418231 |
|---|---|
| Authors | Jonas Andersson (0000-0002-6307-1960, Uppsala University, corresponding author) |
| Year | 2001 |
| Volume | 19 |
| Issue | 1 |
| Pages | 44-54 |
| Publication date | 2001-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/07350010152472607 |
| OpenAlex | W2058514393 |
| Language | EN |
| References cited | 15 |
In this article, the normal inverse Gaussian stochastic volatility model of Barndorff-Nielsen is extended. The resulting model has a more flexible lag structure than the original one. In addition, the second-and fourth-order moments, important properties of a volatility model, are derived. The model can be considered either as a generalized autoregressive conditional heteroscedasticity model with nonnormal errors or as a stochastic volatility model with an inverse Gaussian distributed conditional variance. A simulation study is made to investigate the performance of the maximum likelihood estimator of the model. Finally, the model is applied to stock returns and exchange-rate movements. Its fit to two stylized facts and its forecasting performance is compared with two other volatility models
Autoregressive conditional heteroskedasticity · Autoregressive model · Conditional variance · Constant elasticity of variance model · Econometrics · Economics · Estimator · Financial models with long-tailed distributions and volatility clustering · Forward volatility · Gaussian · Gaussian process · Gaussian random field · Heston model · Heteroscedasticity · Inverse Gaussian distribution · Normal-inverse Gaussian distribution · SABR volatility model · Statistics · Stochastic volatility · Stylized fact · Financial Risk and Volatility Modeling · Hydrology and Drought Analysis · Mathematics · Stochastic processes and financial applications · Applied Mathematics
Conditional Heteroskedasticity in Asset Returns
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Generalized autoregressive conditional heteroskedasticity
Testing the equality of prediction mean squared errors
GMM Estimation of a Stochastic Volatility Model
| Citation velocity | historical |
|---|---|
| Highly cited | No |