Stochastic Volatility and Seasonality in ... - Interconti, Limited

Table 5: Parameter estimates for soybean contracts, 2. half: Nov. 1991 – Mar. 1999.
Volatility κ: 4.3447 θ : 0.2572 σ v : 0.8736 ν 1 : −0.4185 ν ∗ 1 : −0.2587 ν 2 : 0.2193 ν ∗ 2 : 0.1421
parameters: (0.3286) (0.0144) (0.0351) (0.0190) (0.0268) (0.0108) (0.0103)
Convenience yield β : 1.1901 σ δ : 1.1621 α 0 : 0.0328 α 1 : −0.1875 α ∗ 1 : 0.1777 α 2 : 0.1489 α ∗ 2 : 0.1879
parameters: (0.0794) (0.1401) (0.0047) (0.0068) (0.0073) (0.0039) (0.0035)
Correlations and risk ρ 12 : 0.3972 ρ 13 : 0.5085 ρ 23 : −0.0409 λ P : −0.7322 λ δ : −1.8687 λ v : −3.5911
premia parameters: (0.0115) (0.0361) (0.1197) (2.1073) (1.9719) (2.8661)
38
Correlation matrix of measurement errors (standard deviation estimates in diagonal):
⎛
⎜
⎝
⎞
0.9013
−0.4926 0.7990
−0.1575 0.3329 1.9643
−0.1543 0.2437 0.7839 2.5335
−0.2784 0.1928 0.0113 0.0066 0.0213
−0.2068 0.1145 0.0766 0.0743 0.8746 0.0303
−0.1114 0.0506 0.1487 0.1832 0.6274 0.8831 0.0297
−0.0207 0.0071 0.2015 0.2410 0.3607 0.6371 0.8998 0.0254
⎟
−0.0263 0.0403 0.1731 0.1870 0.1877 0.4560 0.6987 0.8859 0.0178 ⎠
−0.0891 0.0948 0.1543 0.1252 0.0098 0.2526 0.4272 0.5733 0.8113 0.0107
Log-likelihood function value: 4642.37