Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

2010 ◽  
Vol 38 (1) ◽  
pp. 1-22 ◽  
Author(s):  
AJAY JASRA ◽  
DAVID A. STEPHENS ◽  
ARNAUD DOUCET ◽  
THEODOROS TSAGARIS
Keyword(s):  
Monte Carlo ◽  
Stochastic Volatility ◽  
Sequential Monte Carlo ◽  
Stochastic Volatility Models ◽  
Volatility Models

scholarly journals A note on stochastic volatility model estimation

2019 ◽  
Vol 17 (4) ◽  
pp. 22
Author(s):  
Omar Abbara ◽  
Mauricio Zevallos
Keyword(s):  
Time Series ◽  
Monte Carlo ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Parameter Estimates ◽  
Model Estimation ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Volatility Model ◽  
Monte Carlo Evaluation

<p>The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates considering several distributions for the perturbations in the observation equation. Second, the method is assessed empirically, through backtesting evaluation of VaR forecasts of the S&amp;P 500 time series returns. In both analyses, the paper also evaluates the convenience of using the Fuller transformation.</p>

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