Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling

Nadia Boussaha
  • Fonction : Auteur
Faycal Hamdi
  • Fonction : Auteur
Saïd Souam
  • Fonction : Auteur
  • PersonId : 1039156

Résumé

The contribution of this paper is twofold. In a first step, we propose the so called Periodic Multivariate Autoregressive Stochastic Volatility (PV ARSV) model, that allows the Granger causality in volatility in order to capture periodicity in stochastic conditional variance. After a thorough discussion, we provide some probabilistic properties of this class of models. We thus propose two methods for the estimation problem, one based on the periodic Kalman filter and the other on the particle filter and smoother with Expectation-Maximization (EM) algorithm. In a second step, we propose an empirical application by modeling oil price and three exchange rates time series. It turns out that our modeling gives very accurate results and has a well volatility forecasting performance.
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Dates et versions

hal-04141780 , version 1 (26-06-2023)

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  • HAL Id : hal-04141780 , version 1

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Nadia Boussaha, Faycal Hamdi, Saïd Souam. Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling. 2018. ⟨hal-04141780⟩
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