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
Revista:
Anales de estudios económicos y empresariales

ISSN: 0213-7569

Año de publicación: 2008

Número: 18

Páginas: 69-89

Tipo: Artículo

Otras publicaciones en: Anales de estudios económicos y empresariales

Resumen

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.