Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time

• Main Authors: KLEPPE, Tore Selland, YU, Jun, SKAUG, Hans J.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: Efficient importance sampling; GARC diffusion model; Simulated Maximum likelihood; Stochastic volatility; Econometrics; Finance
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1232; https://ink.library.smu.edu.sg/context/soe_research/article/2231/viewcontent/sml_garchdiffusion01.pdf
• 機構: Singapore Management University

A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Ait-Sahalia (2008) to approximate the transition p...