On filtering and estimation of a threshold stochastic volatility model
Date
2011
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we derive a nonlinear filter for the hidden volatility and related quantities. The filter-based estimates for the unknown parameters are then obtained from the EM algorithm.
Description
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.
Keywords
Stochastic volatility, Threshold principle
Citation
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu, On filtering and estimation of a threshold stochastic volatility model, Applied Mathematics and Computation, Volume 218, Issue 1, 1 September 2011, Pages 61-75.