Sv Mixture Models with Application to S&P 500 Index Returns PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Sv Mixture Models with Application to S&P 500 Index Returns PDF full book. Access full book title Sv Mixture Models with Application to S&P 500 Index Returns by Garland Durham. Download full books in PDF and EPUB format.

Sv Mixture Models with Application to S&P 500 Index Returns

Sv Mixture Models with Application to S&P 500 Index Returns PDF Author: Garland Durham
Publisher:
ISBN:
Category :
Languages : en
Pages : 61

Book Description
Understanding both the dynamics of volatility as well as the shape of the distribution of returns conditional on the volatility state are important for many financial applications. A simple single-factor SV model appears to be sufficient to capture most of the dynamics; it is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this distribution as a discrete mixture of normals. The flexibility of this class of distributions provides a transparent look into the tails of the returns distribution. Model diagnostics suggest that the model, SV-mix, does a good job of capturing the salient features of the data. In a direct comparison against several affine-jump models, SV-mix is strongly preferred by Akaike and Schwarz information criteria.
➤