Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code

Jon Danielsson

Studies in Nonlinear Dynamics & Econometrics, 1996, vol. 1, issue 1, 8

Abstract: This is documentation for a C++ implementation of the simulated maximum likelihood (SML) estimation method, where the SML algorithm is applied to the stochastic volatility (SV) model. The algorithm and code can easily be adapted to a richer class of SV models, as well as to more general dynamic latent-variable models.

Date: 1996
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DOI: 10.2202/1558-3708.1011

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