
21
Stochastic Vo la t ility and Realized Stochast ic
Volatility Models
Yasuhiro Omori
University of Tokyo
Toshiaki Watanabe
Hitotsubashi University
CONTENTS
21.1 Intro ductio n . . . . . . . . .. . . . . . .. .. . . . . . .. . . .. . . . .. . . .. . . . .. .. . . . .. .. . 435
21.2 Stochastic Volatility Model and Efficient Sampler . .. . . .. . . . . . . . 436
21.2.1 Generation of θ = (φ, µ, σ
2
η
, ρ)
′
. . .. .. . . . . . .. .. . . . . . .. . . .. 438
21.2.2 Generation of h: Single-move sampler .. . .. .. . . . . . .. . . .. 440
21.2.3 Blo ck sampler for h . .. . . .. . . . . . . . .. . . . . . .. .. . . . . . .. . . .. . 440
21.3 Realized SV Model . .. . .