Estimation for stochastic volatility model: Quasi-likelihood and asymptotic quasi-likelihood approaches

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• 作者：Raed Alzghool ; ^{raalzghool@uod.edu.sa} ; ^{raedalzghool@bau.edu.jo}
• 关键词：Stochastic volatility model (SVM) ; Quasi-likelihood (QL) ; Asymptotic quasi-likelihood (AQL) ; Martingale difference ; Kernel estimator
• 刊名：Journal of King Saud University - Science
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：29
• 期：1
• 页码：114-118
• 全文大小：364 K
• 卷排序：29

文摘

For estimation of the stochastic volatility model (SVM), this paper suggests the quasi-likelihood (QL) and asymptotic quasi-likelihood (AQL) methods. The QL approach is quite simple and does not require full knowledge of the likelihood functions of the SVM. The AQL technique is based on the QL method and is used when the covariance matrix ΣΣ is unknown. The AQL approach replaces the true variance–covariance matrix ΣΣ by nonparametric kernel estimator of ΣΣ in QL.