Filtering volatility from data observed at random time intervals
نویسندگان
چکیده
We consider a continuous-time model for a stock price, which is, however, observed at discrete time intervals. The time between observations is random. We report on the formula for the optimal filter for the current value of the volatility of the stock price and we illustrate the theoretical results with a numerical example. The filter gives stable and efficient estimates of the volatility. As a preliminary step, we estimate the possible values of volatility using a variation of the Multiscale Trend Analysis (MTA) method.
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تاریخ انتشار 2005