A Gibbs Sampling Algorithm to Estimate the Parameters of a Volatility Model: An Application to Ozone Data - Applied Mathematics

AM > Vol.3 No.12, December 2012

A Gibbs Sampling Algorithm to Estimate the Parameters of a Volatility Model: An Application to Ozone Data ()

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DOI: 10.4236/am.2012.312A299 5,271 Downloads 8,303 Views Citations

Author(s)

Verónica De Jesús Romo, Eliane R. Rodrigues, Guadalupe Tzintzun

Affiliation(s)

Facultad de Ciencias, Universidad Nacional Autónoma de México, Mexico City, Mexico.
Instituto de Matemáticas, Universidad Nacional Autónoma de México, Mexico City, Mexico.
Instituto Nacional de Ecologa y Cambio Climático, Secretara de Medio Ambiente y Recursos Naturales, Mexico City, Mexico.

ABSTRACT

In this work we consider a stochastic volatility model, commonly used in financial time series studies, to analyse ozone data. The model considered depends on some parameters and in order to estimate them a Markov chain Monte Carlo algorithm is proposed. The algorithm considered here is the so-called Gibbs sampling algorithm which is programmed using the language R. Its code is also given. The model and the algorithm are applied to the weekly ozone averaged measurements obtained from the monitoring network of Mexico City.

KEYWORDS

MCMC Algorithms; Bayesian Inference; Volatility Models; Ozone Air Pollution; Mexico City

Share and Cite:

V. Romo, E. Rodrigues and G. Tzintzun, "A Gibbs Sampling Algorithm to Estimate the Parameters of a Volatility Model: An Application to Ozone Data," Applied Mathematics, Vol. 3 No. 12A, 2012, pp. 2178-2190. doi: 10.4236/am.2012.312A299.

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