Bayesian prediction of jumps in large panels of time series data

DOI10.1214/21-BA1268arXiv1904.05312OpenAlexW3159464310MaRDI QIDQ6202925FDOQ6202925

Authors: Angelos Alexopoulos, Petros Dellaportas, Omiros Papaspiliopoulos 

Publication date: 27 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a competitive inference alternative to the existing tools. This methodology is then extended to a large set of stocks for which we assume that their unobserved jump intensities co-evolve in time through a dynamic factor model. To evaluate the proposed modelling approach we conduct out-of-sample forecasts and we compare the posterior predictive distributions obtained from the different models. We provide evidence that joint modelling of jumps improves the predictive ability of the stochastic volatility models.

Full work available at URL: https://arxiv.org/abs/1904.05312

zbMATH Keywords

Markov chain Monte Carlosequential Monte Carlodynamic factor modelstochastic volatility with jumpsforecasting stock returns

Mathematics Subject Classification ID

Statistics (62-XX)

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