  The realized stochastic volatility (RSV) model that utilizes the realized
volatility as additional information has been proposed to infer volatility of
financial time series. We consider the Bayesian inference of the RSV model by
the Hybrid Monte Carlo (HMC) algorithm. The HMC algorithm can be parallelized
and thus performed on the GPU for speedup. The GPU code is developed with CUDA
Fortran. We compare the computational time in performing the HMC algorithm on
GPU (GTX 760) and CPU (Intel i7-4770 3.4GHz) and find that the GPU can be up to
17 times faster than the CPU. We also code the program with OpenACC and find
that appropriate coding can achieve the similar speedup with CUDA Fortran.
