Estimation of Asymmetric Stochastic Volatility in Mean Models

Antonis Demos

No 2309, DEOS Working Papers from Athens University of Economics and Business

Abstract: Here we investigate the estimation of asymmetric Autoregressive Stochastic Volatility models with possibly time varying risk premia. We employ the Indirect Inference estimation developed in Gallant and Tauchen (1996), with a first step estimator either the Generalized Quadratic ARCH or the Exponential GARCH. We employ Monte-Carlo simulations to compare the two first step models in terms of bias and root Mean Squared Error. We apply the developed methods for the estimation of an asymmetric autoregressive SV-M model to international stock markets excess returns.

Keywords: Stochastic; Volatility; estimation; asymmetry; leverage; indirect; inference (search for similar items in EconPapers)
Pages: 37 pages
Date: 2023-03-21
New Economics Papers: this item is included in nep-des, nep-ecm, nep-ets and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:aue:wpaper:2309

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