文章基本信息

标题：Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility
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作者：Moawia Alghalith ; Christos Floros ; Konstantinos Gkillas 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2020
卷号：8
期号：35
页码：35
DOI：10.3390/risks8020035
语种：English
出版社：MDPI, Open Access Journal
摘要：We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far simpler than the existing ones. Using intraday prices for the Standard Poor’s 500 equity index, the estimates revealed evidence that both volatility and the volatility of volatility are stochastic. We also proceeded in a Monte Carlo simulation analysis and found that the estimates were reasonably accurate. Such evidence implies that the stochastic volatility models proposed in the literature with constant volatility of volatility may fail to approximate the discrete-time short rate dynamics.