Abstract
This paper is to study the estimation of stochastic volatility model with leverage effect using Bayesian approach and Markov Chain Monte Carlo (MCMC) simulation technique. The data used is China's Shenzheng stock index. Estimations of model parameters are achieved by using MCMC technique in Openbugs Software, results show that there is leverage effect in Shenzheng stock series, convergence diagnostics suggest that parameters of the model are convergent.
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