Zastosowanie iterowanej filtracji do estymacji parametrów wariancji chwilowej w ramach niegaussowskich procesów stochastycznej zmienności typu Ornsteina-Uhlenbecka

• Autorzy: Piotr Szczepocki

Warianty tytułu

Application of Iterated Filtering for Parametric Estimation of Instantaneous Variance in the Case of Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Processes

• Języki publikacji: PL

Abstrakty

Artykuł przedstawia propozycję estymacji parametrów wariancji chwilowej za pomocą iterowanej filtracji z wykorzystaniem estymatora wariancji zrealizowanej w modelach stochastycznej zmienności typu Ornsteina-Uhlenbecka opartych na niegaussowskich procesach Lévy'ego. Przydatność zaproponowanej metody jest zilustrowana w badaniu empirycznym opartym na wariancji zrealizowanej wyznaczonej dla indeksu S&P500. Dokładność estymacji jest zweryfikowana w eksperymencie symulacyjnym. (abstrakt oryginalny)

EN

The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique. (original abstract)

Słowa kluczowe

PL

Procesy zmienności stochastycznej; Estymacja; Analiza wariancji; Modele stochastyczne

EN

Stochastic Volatility Processes; Estimation; Variance analysis; Stochastic models

• Czasopismo: Przegląd Statystyczny
• Rocznik: 2019
• Tom: 66
• Numer: z. 1
• Strony: 51--68

Twórcy

autor

Piotr Szczepocki

• Uniwersytet Łódzki

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