Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

Bayesian inference for stochastic volatility models using MCMC methods highly depends
on actual parameter values in terms of sampling efficiency. While draws from the posterior
utilizing the standard centered parameterization break down when the volatility of volatility parameter
in the latent state equation is small, non-centered versions of the model show deficiencies
for highly persistent latent variable series. The novel approach of ancillarity-sufficiency
interweaving has recently been shown to aid in overcoming these issues for a broad class of
multilevel models. In this paper, we demonstrate how such an interweaving strategy can be
applied to stochastic volatility models in order to greatly improve sampling efficiency for all
parameters and throughout the entire parameter range. Moreover, this method of "combining
best of different worlds" allows for inference for parameter constellations that have previously
been infeasible to estimate without the need to select a particular parameterization beforehand.
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberWU Vienna University of Economics and Business
DOIs
PublikationsstatusVeröffentlicht - 2013

Publikationsreihe

NameResearch Report Series / Department of Statistics and Mathematics
Nr.121

WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

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