Table 3.

Simulation results on the estimation of SSVM-OU parameters. The relative bias is defined as $E(\tilde{\varphi }∕\varphi -1)$ for $\tilde{\varphi }$ the posterior mean of the parameter ϕ.

Data Augmented	Parameter	Truth	Relative Bias	MSE	Coverage Rate	Interval Length
0	${\sigma }_{\epsilon }^2$	0.05	−0.202	1.294e−04	0.678	0.026
	${\sigma }_{\xi }^2$	1.00	−0.408	1.689e−01	0.044	0.461
	ρ	3.50	−0.470	2.704e+00	0.000	0.101
	${\sigma }_{\nu }^2$	0.05	2.101	1.123e−02	0.211	0.299
	β 0	−0.15	0.03	1.992e−02	1.000	1.150
	β 1	0.15	0.139	3.140e−02	1.000	1.307
	β 2	0.25	−0.006	1.693e−02	1.000	1.120
	β 3	0.10	−0.105	1.995e−02	1.000	1.166
9	${\sigma }_{\epsilon }^2$	0.05	0.012	2.952e−05	0.967	0.024
	${\sigma }_{\xi }^2$	1.00	−0.041	2.253e−02	0.967	0.800
	ρ	3.50	−0.052	3.596e−02	0.256	0.273
	${\sigma }_{\nu }^2$	0.05	0.548	9.410e−04	0.989	0.133
	β 0	−0.15	0.035	2.033e−02	0.978	0.647
	β 1	0.15	0.135	3.133e−02	0.956	0.739
	β 2	0.25	0.005	1.673e−02	0.989	0.634
	β 3	0.10	−0.099	2.006e−02	0.956	0.660
19	${\sigma }_{\epsilon }^2$	0.05	0.013	3.921e−05	0.956	0.024
	${\sigma }_{\xi }^2$	1.00	0.007	2.497e−02	0.967	0.802
	ρ	3.50	−0.018	8.104e−03	0.911	0.288
	${\sigma }_{\nu }^2$	0.05	0.494	7.960e−04	0.989	0.126
	β 0	−0.15	0.022	2.013e−02	0.967	0.625
	β 1	0.15	0.138	3.135e−02	0.944	0.713
	β 2	0.25	0.003	1.686e−02	0.978	0.612
	β 3	0.10	−0.113	1.980e−02	0.978	0.635