An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model

Helen Lisok and Oleg Kritskiy

Applied Econometrics, 2007, vol. 6, issue 2, 3-12

Abstract: The method of evaluation of stochastic volatility (SV) model coefficients, with time approaching the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the ana-lytical solution of the Fokker–Planck–Kholmogorov asymptotic equation. The constructed algorithm is applied to economet-ric analysis of daily GAZPROM share prices and values of S&P500 Index options (SPX).

Keywords: stochastic volatility model; Fokker-Planck-Kolmogorov equation (search for similar items in EconPapers)
JEL-codes: C02 C13 (search for similar items in EconPapers)
Date: 2007
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