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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method

Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method The Stochastic Volatility, SV, model is used for capturing the empirical properties of financial time series.
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Description: The Stochastic Volatility, SV, model is used for capturing the empirical properties of financial time series. This paper overviews those properties and compares the SV model with the heavy-tailed error distribution Student t-distribution and the SV model with the normal error distribution. The Simulated Maximum Likelihood, SML, method is applied to estimate the parameters and the latent volatility.
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- Authors: EUNJI CHOI
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments

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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method