New Alternative Methods For Estimation Of Asymmetric Stochastic Volatility Model


Abstract


Two methods, the Quasi-likelihood (QL) and Asymptotic Quasi-likelihood (AQL) for finding a point estimate of unknown parameters in asymmetric stochastic volatility (ASV) model with leverage effect are proposed. The QL estimation (QLE) developing if probability distribution of (ASV) model is not available. The AQL estimation (AQLE) building on QLE technique and is obtained where variance and covariance are not available. The AQL estimation substitutes the variance and covariance by kernel estimator in QL. Application of the QLE and AQLE to analyze several data sets modeled by ASV model are considered.

DOI Code: 10.1285/i20705948v16n3p639

Keywords: Asymmetric Stochastic Volatility (ASV) Model; Quasi likelihood Estimation (QLE); Asymptotic Quasi likelihood Estimation (AQLE); Kernel estimation.

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