We introduce a new method for estimating the regime-switchingstochasticvolatilitymodels from the historical prices. Our methodology is based on a novel version of the assumed density filter (ADF). We estimate the s...
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ISBN:
(纸本)9781509007462
We introduce a new method for estimating the regime-switchingstochasticvolatilitymodels from the historical prices. Our methodology is based on a novel version of the assumed density filter (ADF). We estimate the switching model by maximizing the quasi-likelihood function of our ADF. The simulation experiments show the efficiency of our method. Then we analyze different market price histories for consistency with a regime-shifting model.
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