Statistical tests for selected equity market models
(English)Manuscript (preprint) (Other academic)
In this paper we evaluate which of four candidate equity market models that provide the best fit to observed closing data for the OMXS30 index from 30 September 1986 to 6 May 2013. The candidate models are two GARCH type models and two stochastic volatility models. The stochastic volatility models are estimated with the help of Markov Chain Monte Carlo methods. We provide the full derivations of the posterior distributions for the two stochastic volatility models, which to our knowledge have not been provided in the literature before. With the help of statistical tests we conclude that, out of the four candidate models, a GARCH model which includes jumps in the index level provides the best fit to the observed OMXS30 closing data.
GARCH models, stochastic volatility models, Markov Chain Monte Carlo methods, statistical tests
Economics and Business Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:liu:diva-94359OAI: oai:DiVA.org:liu-94359DiVA: diva2:632467