Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
نویسندگان
چکیده
The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we provide a statistical basis for realised volatility and show how it can be used to estimate the parameters of stochastic volatility models. Models covered included those which are based on Lévy driven non-Gaussian OU volatility processes, as well as more traditional type models such as constant elasticity of variance processes or superpositions of such processes.
منابع مشابه
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realised volatility erro...
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