Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86767
Authors: 
Bos, Charles S.
Year of Publication: 
2011
Series/Report no.: 
Tinbergen Institute Discussion Paper 11-048/4
Abstract: 
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one reason for this difference is the relative difficulty of estimating the unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their commonalities. In this manner, the advantages of each method are investigated, resulting in a comparisonof the methods for their efficiency, difficulty-of-implementation, and precision.
Subjects: 
Stochastic volatility
estimation
methodology
JEL: 
C13
C18
C51
Document Type: 
Working Paper

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