Estimation of stochastic volatility models with diagnostics
Publication
, Journal Article
Gallant, AR; Hsiehb, D; Tauchen, G
Published in: Journal of Econometrics
January 1, 1997
Efficient method of moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that stochastic volatility models cannot approximate. The two score generators employed here are 'semiparametric ARCH' and 'nonlinear nonparametric'. With the first, the standard model is rejected, although some extensions are accepted. With the second, all versions are rejected. The extensions required for an adequate fit are so elaborate that nonparametric specifications are probably more convenient. © 1997 Elsevier Science S.A.
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Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1997
Volume
81
Issue
1
Start / End Page
159 / 192
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
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Gallant, A. R., Hsiehb, D., & Tauchen, G. (1997). Estimation of stochastic volatility models with diagnostics. Journal of Econometrics, 81(1), 159–192. https://doi.org/10.1016/S0304-4076(97)00039-0
Gallant, A. R., D. Hsiehb, and G. Tauchen. “Estimation of stochastic volatility models with diagnostics.” Journal of Econometrics 81, no. 1 (January 1, 1997): 159–92. https://doi.org/10.1016/S0304-4076(97)00039-0.
Gallant AR, Hsiehb D, Tauchen G. Estimation of stochastic volatility models with diagnostics. Journal of Econometrics. 1997 Jan 1;81(1):159–92.
Gallant, A. R., et al. “Estimation of stochastic volatility models with diagnostics.” Journal of Econometrics, vol. 81, no. 1, Jan. 1997, pp. 159–92. Scopus, doi:10.1016/S0304-4076(97)00039-0.
Gallant AR, Hsiehb D, Tauchen G. Estimation of stochastic volatility models with diagnostics. Journal of Econometrics. 1997 Jan 1;81(1):159–192.
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1997
Volume
81
Issue
1
Start / End Page
159 / 192
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics