Estimation of Stochastic Volatility Models
The stochastic volatility model and the problems related to their estimation are considered. After reviewing the most popular estimation procedures, it is illustrated how to overcome the difficulty of evaluating and maximizing the likelihood, a high-dimensional integral, using a quadrature method. The technique is applied to a number of stock exchange indexes, and a comparison with the class of competitor ARCH-type models is carried out.
KeywordsHigh-dimensional integral Quadrature Stock index
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