Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
- 2024-05-27 (Mon.), 11:00 AM
- 統計所B1演講廳,茶 會:上午9:40。
- 英文演講,實體與線上視訊同步進行。
- Prof. Shih-Feng Huang ( 黃士峰 教授 )
- 國立中央大學統計研究所
Abstract
This study proposes a hysteretic multivariate Bayesian structural GARCH model with soft information, denoted by SH-MBS-GARCH, to describe multidimensional financial time-series dynamics. We first filter the GARCH effects inherent in each financial time series by the De-GARCH technique. Next, we establish a hysteretic multivariate Bayesian structural model for the multidimensional De-GARCH time series to simultaneously capture the trend, seasonal, cyclic, and endogenous (or exogenous) covariates’ effects. In particular, we extract soft information from the daily financial news and add the information into the hysteretic part of the model to reflect economic effects on the time-series behavior. An MCMC algorithm is proposed for parameter estimation. The empirical study employs the Dow Jones Industrial, Nasdaq, and Philadelphia Semiconductor indices from January 2016 to December 2020 to investigate the performances of the proposed model. Numerical results reveal that the SH-MBS-GARCH model has better fitting and prediction performances than competitors.