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1、VolatilidadeEstocasticaUnivariada:´InferenciaBayesianaatravˆesdoWinBugs´+FactorStochasticVolatility:LatinAmericanStockReturnsHedibertFreitasLopesDepartamentodeM´etodosEstat´ısticosUniversidadeFederaldoRiodeJaneirohedibert@im.ufrj.brhttp://acd.ufrj.br/∼hedibert•First•Prev•Next•Last•GoBack•FullScre
2、en•Close•QuitOrganiza¸c˜aodaPalestraParteI•WinBugs:InferˆenciaBayesianasemdor!•VolatilidadeEstoc´asticaUnivariada•ModelandoavolatilidadedoIBOVESPAnoWinBugs•ModelandoavolatilidadedataxadecˆambioPound/DollarnoWinBugs•Generaliza¸c˜oesParteII•Factorstochasticvolatility-FSV•FactorMarkovswitchingSV-FMS
3、SV•Prior/Posterior•MCMCeSMCFinalThoughts•First•Prev•Next•Last•GoBack•FullScreen•Close•QuitProfessorRueyTsaysays,intheprefaceofhisAnalysisofFinancialTimeSeries(Wiley,2002),that:MCMCmethodsareintroducedbecausetheyarepowerfulandwidelyapplicableinfinancialeconometrics.Hecontinues,Thesemethodswillbeuse
4、dextensivelyinthefuture.•First•Prev•Next•Last•GoBack•FullScreen•Close•QuitVolatilidadeEstoc´asticaModelo1hy=e2tεε∼N(0,1)ttt2ht=µ+φ(ht−1−µ)+utut∼N(0,τ)Priori2h0∼N(µ,τ)µ∼N(0,10)φ+1∗φ=∼Beta(20,1.5)22τ∼IG(2.5,0.025)Posteriori222p(µ,φ,τ,h0,h
5、y)∝p(µ)p(φ)p(τ)p(θ0
6、µ,τ)YnYn2×p(ht
7、ht−1,µ,φ,τ)p(yt
8、ht)t=1t=1
9、•First•Prev•Next•Last•GoBack•FullScreen•Close•QuitStochasticVolatility•Jarquier,PolsonandRossi(JBES,94)•Shephard(TimeSeriesModelsinEconometrics,96)•Kim,ShephardandChib(RES,98)•Chib,NardariandShephard(JEcon,02)•First•Prev•Next•Last•GoBack•FullScreen•Close•QuitS´eriesEstudadasnoWinBugs•First•Prev•N
10、ext•Last•GoBack•FullScreen•Close•QuitOprogramaWinBugsutilizadonessaapresenta¸c˜aopodeserencontradoemRenateMeyerandJunYu(2000)BUGSforaBayesianAnalysisofStochasticVolatilityModels,EconometricsJournal,queestuda,entreoutrascoisas,ataxadecˆambiopound/dollar.•First•Prev•Next•Last•GoBack•FullScreen•Clos
11、e•Quit•First•Prev•Next•Last•GoBack•FullScreen•Close•Quit•First•Prev•Next•Last•GoBack•FullScreen•Close•Quit•First•Prev•Next•Last•GoBack•FullScreen•Close•QuitIBOVESPA-Posteriori•First•Prev•Next•Last•GoBack•FullScreen•Clo
