A Computationally efficient Method for Obtaining Smoothed Volatilities in Long-Memory Stochastic Volatility Models

  1. Marmol, Francesc
  2. Pérez Espartero, Ana
  3. Reboredo Nogueira, Juan Carlos
Zeitschrift:
Anales de estudios económicos y empresariales

ISSN: 0213-7569

Datum der Publikation: 2008

Nummer: 18

Seiten: 69-89

Art: Artikel

Andere Publikationen in: Anales de estudios económicos y empresariales

Zusammenfassung

We provide a computationally e±cient method, based on Harvey (1998) proposal, to estimate the underlying volatility of asset returns using the Long-Memory Stochastic Volatility (LMSV ) model. The performance of our procedure is illustrated with an application to three series of daily exhange rates returns. A comparison of long memory GARCH-type volatilities with our smoothed ones is also presented.