Range - Based Estimation of Stochastic Volatility Models  

Oleh:

Diebold, Francis X. ; Brandt, Michael W. ; Alizadeh, Sassan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1047-1092.
Topik: VOLATILITY; studies; stochastic models; volatility; estimating techniques; econometrics; floating exchange rates
Fulltext: p 1047.pdf (552.44KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that range - based volatility proxies are not only highly efficient, but also approximately gaussian and robut to microstructure noise. Hence range - based gaussian quasi - maximum likelihood estimation produces highly efficient estimates of stochastic volatility models and extractions of latent volatility. We use our method to examine the dynamics of daily exchange rate volatility and find the evidence points strongly toward two - factor models with one highly persistent factor and one quickly mean - reverting factor.

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