A note on estimating stochastic volatility and its volatility: a new simple method

Moawia Alghalith

Papers from arXiv.org

Abstract: We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.

Date: 2012-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1212.0380

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