Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices
DOI:
https://doi.org/10.24425/cejeme.2016.119193Keywords:
jump-diffusion model, stochastic volatility, Bayesian approach, MCMC methods, gas forward pricesAbstract
A Bayesian stochastic volatility model with a leverage effect, normal errors
and jump component with the double exponential distribution of a jump value
is proposed. The ready to use Gibbs sampler is presented, which enables one
to conduct statistical inference. In the empirical study, the SVLEDEJ model is
applied to model logarithmic growth rates of one month forward gas prices.
The results reveal an important role of both jump and stochastic volatility
components.
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Published
2016-09-03
How to Cite
Kostrzewski, M. (2016). Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices. Central European Journal of Economic Modelling and Econometrics, 8(3), 161–179. https://doi.org/10.24425/cejeme.2016.119193
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Copyright (c) 2025 Maciej Kostrzewski
This work is licensed under a Creative Commons Attribution 4.0 International License.
