Zero-inflated stochastic volatility model for disaggregated inflation data with exact zeros
含精确零值的细分通胀数据零膨胀随机波动率模型
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of trend-inflation is designed for aggregate measures of price inflation, where zeros rarely occur. We formulate a zero-inflated stochastic volatility model applicable to such non-stationary, real-valued, multivariate time-series data with exact…