Arbeitspapier
A Bayesian Analysis of Unobserved Component Models using Ox
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 articleit 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 comparisonof the methods for their efficiency, difficulty-of-implementation, and precision.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 11-048/4
- Classification
-
Wirtschaft
Estimation: General
Methodological Issues: General
Model Construction and Estimation
- Subject
-
Stochastic volatility
estimation
methodology
Zustandsraummodell
Stochastischer Prozess
Volatilität
Bayes-Statistik
Algorithmus
Software
- Event
-
Geistige Schöpfung
- (who)
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Bos, Charles S.
- Event
-
Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bos, Charles S.
- Tinbergen Institute
Time of origin
- 2011
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