https://github.com/beliavsky/autoregressivestochasticvolatility

Simulate from and fit a discrete-time autoregressive log stochastic volatility model
https://github.com/beliavsky/autoregressivestochasticvolatility

quantitative-finance simulation stochastic-volatility time-series-analysis

Last synced: 8 months ago
JSON representation

Simulate from and fit a discrete-time autoregressive log stochastic volatility model

• Host: GitHub
• URL: https://github.com/beliavsky/autoregressivestochasticvolatility
• Owner: Beliavsky
• License: mit
• Created: 2024-09-26T02:42:30.000Z (over 1 year ago)
• Default Branch: main
• Last Pushed: 2025-02-25T21:25:03.000Z (over 1 year ago)
• Last Synced: 2025-02-25T22:26:35.206Z (over 1 year ago)
• Topics: quantitative-finance, simulation, stochastic-volatility, time-series-analysis
• Language: Python
• Homepage:
• Size: 24.4 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

README

          
# AutoregressiveStochasticVolatility

Simulate from and fit a [discrete-time autoregressive log stochastic volatility model](https://hedibert.org/wp-content/uploads/2021/03/sv-mcmc-smc.html). Run with `python xarsv.py`.

```

Sample output:

#obs: 1000000

            mu       phi     sigma

true -0.500000  0.900000  0.400000

 fit -0.497048  0.910509  0.377125

                 mean       std      skew  kurtosis        min        max

vol          0.865088  0.417543  1.540771  4.381076   0.068404   6.841719

log(vol)    -0.249821  0.458181 -0.004259  0.003998  -2.682318   1.923039

returns      0.000676  0.961069  0.016876  4.004919 -13.000362  17.599214

returns/vol  0.000224  1.001080  0.002882 -0.004051  -4.770352   4.496121

            mu       phi     sigma

true -0.500000  0.900000  0.400000

 fit -0.498815  0.916295  0.365594

                 mean       std      skew  kurtosis        min        max

vol          0.865183  0.420412  1.564852  4.576003   0.088911   5.967455

log(vol)    -0.250893  0.460690 -0.002258 -0.001021  -2.420119   1.786320

returns     -0.000413  0.962733  0.015700  3.903745 -10.188885  11.650475

returns/vol -0.001248  1.000968 -0.002871  0.001489  -4.787957   4.829210

            mu       phi     sigma

true -0.500000  0.900000  0.400000

 fit -0.503347  0.889827  0.422405

                 mean       std      skew  kurtosis        min        max

vol          0.865523  0.419989  1.544392  4.325622   0.075386   5.731296

log(vol)    -0.250369  0.460482 -0.003971 -0.003401  -2.585135   1.745942

returns      0.000182  0.960359  0.004223  3.915706 -12.880456  11.390660

returns/vol -0.000037  0.998975 -0.000440 -0.000098  -4.861752   5.047978

```