Title: Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler,
Abstract: In this work, we propose a model for estimating volatility from financial
time series, extending the non-Gaussian family of space-state models with exact
marginal likelihood proposed by Gamerman, Santos and Franco (2013). On the
literature there are models focused on estimating financial assets risk,
however, most of them rely on MCMC methods based on Metropolis algorithms,
since full conditional posterior distributions are not known. We present an
alternative model capable of estimating the volatility, in an automatic way,
since all full conditional posterior distributions are known, and it is
possible to obtain an exact sample of parameters via Gibbs Sampler. The
incorporation of jumps in returns allows the model to capture speculative
movements of the data, so that their influence does not propagate to
volatility. We evaluate the performance of the algorithm using synthetic and
real data time series.
Keywords: Financial time series, Stochastic volatility, Gibbs Sampler,
Dynamic linear models.