Flexible stochastic volatility structures for high frequency financial data

David Feldmann, Wolfgang Härdle, Christian Hafner, Marc Hoffmann (), Oleg V. Lepskii and Alexandre Tsybakov

No 1998,34, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results confirm a linear AR(1) structure for the analyzed stock indices S&P500, Dow Jones Industrial Average and for the exchange rate DEM/USD.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199834

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