Detail publikace

Volatility extraction using the Kalman filter

Autor:
Typ: IES Working Papers
Rok: 2008
Číslo: 10
ISSN / ISBN:
Publikováno v: IES Working Papers 10/2008
Místo vydání: Prague
Klíčová slova: volatility, stochastic volatility models, Kalman filter, volatility proxy
JEL kódy: C22,G15
Citace: Kuchynka, A. (2008). “ Volatility extraction using the Kalman filter ” IES Working Paper 10/2008. IES FSV. Charles University.
Abstrakt: This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the finite sample distribution of the proxy.
Ke stažení: WP 2008_10_Kuchynka

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