Arbeitspapier
Relating Stochastic Volatility Estimation Methods
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one reason for this difference is the relative difficulty of estimating the unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their commonalities. In this manner, the advantages of each method are investigated, resulting in a comparison of the methods for their efficiency, difficulty-of-implementation, and precision.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 11-049/4
- Klassifikation
-
Wirtschaft
Estimation: General
Methodological Issues: General
Model Construction and Estimation
- Thema
-
Stochastic volatility
estimation
methodology
Zeitreihenanalyse
Stochastischer Prozess
Volatilität
ARCH-Modell
Statistische Methode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bos, Charles S.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bos, Charles S.
- Tinbergen Institute
Entstanden
- 2011
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