A Statistical Test for the Heston Model

Gianna Figà-Talamanca ()
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Gianna Figà-Talamanca: University of Perugia, Dipartimento di Economia

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 105-108 from Springer

Abstract: Abstract We introduce a formal test to detect whether a times series of financial log-returns is consistent with the Heston stochastic volatility model as data generating process. The test is based on the auto-covariance structure of the integrated volatility, which is available in closed form for the model under investigation. The test suggested in this contribution also relies on the outcomes of a companion paper where we prove asymptotic results for the distribution of sample moments of the squared log-returns in the fully-specified Heston model.

Keywords: Heston model; Sample auto-covariance; Asymptotic distribution (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_24

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DOI: 10.1007/978-3-319-05014-0_24

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