A Computationally efficient Method for Obtaining Smoothed Volatilities in Long-Memory Stochastic Volatility Models
- Marmol, Francesc
- Pérez Espartero, Ana
- Reboredo Nogueira, Juan Carlos
ISSN: 0213-7569
Argitalpen urtea: 2008
Zenbakia: 18
Orrialdeak: 69-89
Mota: Artikulua
Beste argitalpen batzuk: Anales de estudios económicos y empresariales
Laburpena
We provide a computationally e±cient method, based on Harvey (1998) proposal, to estimate the underlying volatility of asset returns using the Long-Memory Stochastic Volatility (LMSV ) model. The performance of our procedure is illustrated with an application to three series of daily exhange rates returns. A comparison of long memory GARCH-type volatilities with our smoothed ones is also presented.