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Deviance Information Criterion for Comparing Stochastic Volatility Models
Open accessAbstract
Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components and heavy-tailed distributions. However, a formal model comparison via Bayes factors remains difficult. The main objective of this paper is to demonstrate that model selection is more easily performed using the deviance information criterion (DIC). It combines a Bayesian measure-of-fit with a measure of model complexity. We illustrate the performance of DIC in discriminating between various different stochastic volatility models using simulated data and daily returns data on the S&P100 index.
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Meyer, C. T., Wooten, D. J., Paudel, B. B., Bauer, J., Hardeman, K. N., Westover, D., Lovly, C. M., Harris, L. A., Tyson, D. R., & Quaranta, V. (2019) · Cell Systems · doi:10.1016/j.cels.2019.01.003 · Cited by 202
Parker, P. A., Holan, S. H., & Wills, S. A. (2021) · Journal of Statistical Computation and Simulation · doi:10.1080/00949655.2021.1925279 · Cited by 9
Metadata
- Authors
- Berg, A., Meyer, R., & Yu, J.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2004-01
- Volume
- 22
- Issue
- 1
- Pages
- 107-120
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W3126042383
- Cited by
- 292
- References
- 51
- FWCI
- 13.35
- Type
- journal article
- Language
- en
- Open access
- green
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