Estimation methods for stochastic volatility models: a survey

Carmen Broto
Authors registered in the RePEc Author Service: Esther Ruiz ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The empirical application of Stochastic Volatility (SV) models has been limited due to the difficulties involved in the evaluation of the likelihood function. However, recently there has been fundamental progress in this area due to the proposal of several new estimation methods that try to overcome this problem, being at the same time, empirically feasible. As a consequence, several extensions of the SV models have been proposed and their empirical implementation is increasing. In this paper, we review the main estimators of the parameters and the volatility of univariate SV models proposed in the literature. We describe the main advantages and limitations of each of the methods both from the theoretical and empirical point of view. We complete the survey with an application of the most important procedures to the S and P 500 stock price index.

Date: 2002-11
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (7)

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Journal Article: Estimation methods for stochastic volatility models: a survey (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws025414

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