Title: Bayesian analysis of alternative long memory stochastic volatility models using realized volatility
Authors: Manabu Asai - Soka University (Japan) [presenting]
Abstract: In recent years fractionally differenced processes have received a great deal of attention due to its exibility in nancial applications with long memory. We consider a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the nite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.