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Simple estimators and inference for higher-order stochastic volatility models
Journal of Econometrics ( IF 9.9 ) Pub Date : 2021-05-19 , DOI: 10.1016/j.jeconom.2021.03.008
Md. Nazmul Ahsan , Jean-Marie Dufour

We study the problem of estimating higher-order stochastic volatility [SV(p)] models. Due to the difficulty of evaluating the likelihood function, this remains a challenging problem, even in the relatively simple SV(1) case. We propose simple moment-based winsorized ARMA-type estimators, which are computationally inexpensive and remarkably accurate. The proposed estimators do not require choosing a sampling algorithm, initial parameter values, or an auxiliary model. We show that a Durbin–Levinson-type updating algorithm can be applied to recursively estimate models of increasing order p. The asymptotic distribution of the estimators is established. Due to their computational simplicity, the proposed estimators allow one to perform finite-sample Monte Carlo tests. Simulation results show that the proposed estimators have lower bias and mean squared error than all alternative estimators (including Bayes-type estimators). The proposed estimators are applied to S&P 500 daily returns (1928–2016). We find that an SV(3) model is preferable to an SV(1) model.



中文翻译:

高阶随机波动率模型的简单估计量和推断

我们研究估计高阶随机波动率的问题 [SV()] 楷模。由于评估似然函数的难度,这仍然是一个具有挑战性的问题,即使在相对简单的 SV(1)案件。我们提出了简单的基于矩的 winsorized ARMA 型估计器,其计算成本低且非常准确。建议的估计器不需要选择采样算法、初始参数值或辅助模型。我们表明,Durbin-Levinson 型更新算法可用于递归估计递增阶模型. 估计量的渐近分布成立。由于它们的计算简单,建议的估计器允许执行有限样本蒙特卡罗测试。仿真结果表明,所提出的估计量比所有替代估计量(包括贝叶斯型估计量)具有更低的偏差和均方误差。建议的估计量适用于标准普尔 500 指数的每日回报(1928-2016 年)。我们发现一个 SV(3) 模型优于 SV(1) 模型。

更新日期:2021-06-15
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