Stochastic volatility with leverage (Asymmetric SV model)

WinBUGS code ASV.odc

ASV

Output: Stochastic Volatility with leverage

*****Slow convergence to the posterior distribution*****

Generate 110,000 samples and discard first 10,000 samples.

Further, use every 100th sample out of 100,000 samples

(Total # of samples for the statistical inference reduces to 1,000.)

Posterior means, posterior standard deviations and 95% credible intervals (Inference->Samples->stats)

Sample path (history)

Posterior probability densities (Inference->Samples->density)

(Further, right click on the figure->Margins-> Special…->Smooth -> change from 0.2 to 0.1-> apply all)

Sample autocorrelation function (Inference->Samples->auto corr)

Running quantile plot (Inference->Samples->quantiles)

Scatter plots (Inference->Correlations…)

Estimated Volatility (Inference-> Compare-> node:v, axis:time and click on modelfit)

(Further, right-click on the figure, Titles -> title: Volatility, x-axis: time, y-axis: V(t))