
450 Current Trends in Bayesian Methodology with Applications
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FIGURE 21.1
(a) Daily return (top) (b) log-volatility (bottom).
phenomenon of the negative correlation between today’s return a nd tomor-
row’s volatility observed in stock markets. Figure 21.1 shows the return (top)
and the po sterior mea n of log-volatiliy h
t
(bo ttom).
Next, we estimate the RSV model that consists of equations (21.20)–
(21.22). We use the log of realized kernel (RK) of S&P500 stock index obtained
from the Oxford–Man Ins titute’s ...