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ARTÍCULO
TITULO

A note on stochastic volatility model estimation

Omar Abbara    
Mauricio Zevallos    

Resumen

The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates considering several distributions for the perturbations in the observation equation. Second, the method is assessed empirically, through backtesting evaluation of VaR forecasts of the S&P 500 time series returns. In both analyses, the paper also evaluates the convenience of using the Fuller transformation.

PÁGINAS
pp. 22 - 32
MATERIAS
ECONOMÍA

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