Arbeitspapier

Volatility extraction using the Kalman filter

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This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the finite sample distribution of the proxy.

Sprache
Englisch

Erschienen in
Series: IES Working Paper ; No. 10/2008

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
International Financial Markets
Thema
volatility
stochastic volatility models
Kalman filter
volatility proxy
Volatilität
Stochastischer Prozess
Schätztheorie
Theorie

Ereignis
Geistige Schöpfung
(wer)
Kuchynka, Alexandr
Ereignis
Veröffentlichung
(wer)
Charles University in Prague, Institute of Economic Studies (IES)
(wo)
Prague
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Kuchynka, Alexandr
  • Charles University in Prague, Institute of Economic Studies (IES)

Entstanden

  • 2008

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