I have a question regarding an observation I made when trying out the stochastic volatility model (described here ). In short, I’m not sure if what I’m observing is to be expected, or if it could be a symptom of convergence issues. My notebook can be found here . What I’ve tried to do is to use the p…

Could it be because symmetric multiplicative returns mean an expected loss? Eg 1.1 * 0.9 = 0.99 < 1

Downside Bias in the Stochastic Volatility Model?

jlindbloom January 4, 2021, 4:33am 3

Hi Dan, thanks for pointing that out! I’ll try adding a mu parameter for the distribution’s mean and see if that changes anything (it was set to 0 originally).

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Downside Bias in the Stochastic Volatility Model?

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