bayesian testing for asset volatility persistence on multivariate stochastic volatility models贝叶斯测试资产波动持久性多元随机波动模型.pdfVIP

Journal of Mathematical Finance, 2012, 2, 83-89 /10.4236/jmf.2012.21010 Published Online February 2012 (http://www.SciRP.org/journal/jmf) Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models Yong Li, Fang-Ping Peng, Hao-Feng Xu Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China Email: Received September 25, 2011; revised November 25, 2011; accepted November 30, 2011 ABSTRACT In empirical finance, it is well-known that the volatility of asset returns is highly persistent. The persistence of the vola- tility process may be checked by testing for a unit root on stochastic volatility models. In this paper, a Bayesian test statistic based on decision theory is developed for testing a unit root on multivariate stochastic volatility models. At last, the developed approach is applied to investigate the persistent effect of financial crisis on the two main stock markets in China. Keywords: Asset Volatility Persistency; Bayes Factor; Decision Theory; Markov Chain Monte Carlo; Unit Root Testing; Multivariate Stochastic Volatility Models 1. Introduction Raftery [8]). Under Bayesian framework, the unit root test problem was regarded as a model comparison problem It has been well-documented in empirical literature that where two nonnested models, formulated respectively the volatility of asset returns is highly persistent with time, under the null and alternative