Construction of stochastic volatility model based on realized volatility distribution and its application
| Project/Area Number |
25330047
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Hiroshima University of Economics |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | マルコフ連鎖モンテカルロ法 / ハイブリッドモンテカルロ法 / ＳＶモデル / ＧＰＵ計算 / 実現ボラティリティ / OpenACC / SVモデル |
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| Outline of Final Research Achievements |
We investigated properties of the realized volatility calculated with various sampling times. The hybrid Monte Carlo algorithm that infers the realized stochastic volatility model was developed. Since the hybrid Monte Carlo algorithm can be parallelized we made a program that executes the GPU calculation. We find that the GPU calculation is faster than the CPU calculation on a personal computer. We also use the OpenACC that enables us to make a GPU program easily, and find that the computational speed of the OpenACC is comparable with that of the CUDA.
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Report
(4 results)
Research Products
(10 results)
