oil price estimating under dynamic economic models using markov chain monte carlo simulation approach

This study, attempts to estimate and compare four different models of jump-diffusion class combined with stochastic volatility that are based on stochastic differential equations, and their parameters latent variables are estimated by markov chain monte carlo (mcmc) methods. in the stochastic volatility with correlated jumps (svcj) model, volatilities are scholastic, and the term jump is added to both scholastic prices and volatilities. the results of this study showed that this model is more efficient than the others are, as it provides a significantly better fit to the data, and therefore, corrects the shortcomings of the previous models and that it is closer to the actual market prices. therefore, our estimating model under the monte carlo simulation allows an analysis on oil prices during certain times in the periods of tension and shock in the oil market.