文章基本信息

标题：A note on stochastic volatility model estimation
本地全文：下载
作者：Omar Abbara ; Mauricio Zevallos
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2019
卷号：17
期号：4
页码：22-32
DOI：10.12660/rbfin.v17n4.2019.79892
出版社：Link to the Brazilian Society of Finance
摘要：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.
关键词：Backtesting; Mixtures; Non-Gaussian errors; Value-at-Risk
其他关键词：Value-at-risk