About: An Empirical Application of a Two-Factor Model of Stochastic Volatility

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the daily range is employed as the proxy. The estimation of parameters and volatility extraction are performed using the Kalman filter. We have obtained a meaningful decomposition of the volatility process into one highly persistent factor and another quickly mean-reverting factor. Moreover, we have shown that although the overall level of the volatility of returns is roughly the same in both markets, the US market exhibits substantially lower volatility of the volatility process. This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the daily range is employed as the proxy. The estimation of parameters and volatility extraction are performed using the Kalman filter. We have obtained a meaningful decomposition of the volatility process into one highly persistent factor and another quickly mean-reverting factor. Moreover, we have shown that although the overall level of the volatility of returns is roughly the same in both markets, the US market exhibits substantially lower volatility of the volatility process. (en) Předkládaný článek se zabývá modelováním volatility výnosů reprezentativních českých a amerických akcií pomocí dvoufaktorového modelu stochastické volatility, kdy proces volatility je modelován jako superpozice dvou nezávislých autoregresních procesů s odlišnou mírou perzistence. Jako proxy pro skutečnou volatilitu je použit logaritmus rozpětí mezi maximální a minimální cenou během obchodního dne. Odhad parametrů modelu a extrakce volatility je proveden pomocí Kalmanova filtru. Porovnání českých a amerických akcií ukazuje, že ačkoli průměrná úroveň volatility je na obou trzích přibližně stejná, variabilita procesu volatility je u českých akcií podstatně vyšší. (cs)
Title	An Empirical Application of a Two-Factor Model of Stochastic Volatility An Empirical Application of a Two-Factor Model of Stochastic Volatility (en) Empirická aplikace dvoufaktorového modelu stochastické volatility (cs)
skos:prefLabel	An Empirical Application of a Two-Factor Model of Stochastic Volatility An Empirical Application of a Two-Factor Model of Stochastic Volatility (en) Empirická aplikace dvoufaktorového modelu stochastické volatility (cs)
skos:notation	RIV/67985556:_____/08:00314932!RIV09-GA0-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/07/0465), P(GA402/07/1113), P(LC06075), Z(AV0Z10750506)
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2009
http://linked.open...aciTvurceVysledku	Kuchynka, Alexandr
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	355652
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/08:00314932
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stochastic volatility; Kalman filter (en)
http://linked.open.../riv/klicoveSlovo	stochastic volatility Kalman filter
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[9C9AD2C16692]
http://linked.open...i/riv/nazevZdroje	Prague Economic Papers
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Volatility models and their applications in Economics Economic Systems under Uncertainty: Optimization and Approximation Center for Research in Economic Dynamics and Econometrics
http://linked.open...UplatneniVysledku	2008
http://linked.open...v/svazekPeriodika	17
http://linked.open...iv/tvurceVysledku	Kuchyňka, Alexandr
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
issn	1210-0455
number of pages	11 (xsd:int)

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