Fitting the Heston Stochastic Volatility Model to Chinese Stocks
2014 ◽
Vol 1
(1)
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pp. 74
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Keyword(s):
In this article we investigate the goodness-of-fit of the Heston stochastic volatility model for the Shanghai composite index and five Chinese stocks from different industries with the highest trading volume. We have jointly estimated the parameters of the Heston stochastic volatility for the daily, weekly and monthly timescales model by employing a kernel density of the empirical returns to minimize the mean-squared deviations between the theoretical and empirical return distributions. We find that the Heston model is able to characterize the empirical distribution of Chinese stock returns at the daily, weekly and monthly timescales.
2019 ◽
Vol 22
(04)
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pp. 1950009
2017 ◽
Vol 20
(08)
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pp. 1750055
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2012 ◽
Vol 15
(05)
◽
pp. 1250033
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2008 ◽
Vol 40
(01)
◽
pp. 144-162
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2016 ◽
Vol 19
(05)
◽
pp. 1650031
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Keyword(s):
2005 ◽
Vol 2005
(3)
◽
pp. 307-322
◽
2015 ◽
Vol 16
(1)
◽
pp. 27-48
◽
Keyword(s):
2005 ◽
Vol 08
(03)
◽
pp. 301-319
◽