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Inference methods for stochastic volatility modelsKeywords: Stochastic Volatility , Generalized Least Squares , Kalman Filter Abstract: In the present paper we consider estimation procedures for stationaryStochastic Volatility models, making inferences about the latent volatilityof the process. We show that a sequence of generalized least squaresregressions enables us to determine the estimates. Finally, we makeinferences iteratively by using the Kalman Filter algorithm.
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