The basic stochastic volatility (SV) model does not take into account the possible skewness of a time series. In order to overcome this drawback, we introduce a generalisation of such a model based on the assumption that the observations follow the Skew Normal distribution rather than the Normal one. The degree of skewness is regulated by an appropriate parameter; when this parameter is equal to zero, the proposed model is equivalent to the basic SV model. It turns out especially appropriate for daily stock returns.

A generalization for skewness of the basic stochastic volatility model

DE LUCA, GIOVANNI;
2000-01-01

Abstract

The basic stochastic volatility (SV) model does not take into account the possible skewness of a time series. In order to overcome this drawback, we introduce a generalisation of such a model based on the assumption that the observations follow the Skew Normal distribution rather than the Normal one. The degree of skewness is regulated by an appropriate parameter; when this parameter is equal to zero, the proposed model is equivalent to the basic SV model. It turns out especially appropriate for daily stock returns.
2000
84-7585-217-3
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11367/15544
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact