Application of Iterated Filtering for Parametric Estimation of Instantaneous Variance in the Case of Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Processes

• Authors: Szczepocki, Piotr

Abstracts

EN

The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.

Keywords

EN

stochastic volatility; Ornstein-Uhlenbeck process; iterated filtering

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2019
• Volume: 66
• Issue: 1
• Pages: 51-68

Dates

published

2020-02-13

Contributors

author

Szczepocki, Piotr

Identifiers

DOI

10.5604/01.3001.0013.8364