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• W4220693654 abstract "Abstract Stochastic Volatility (SV) models are an alternative to GARCH models for estimating volatility and several empirical studies have indicated that volatility exhibits long-memory behavior. The main objective of this work is to propose a new method to estimate a univariate long-memory stochastic volatility (LMSV) model. For this purpose we formulate the LMSV model in a state-space representation with non-Gaussian perturbations in the observation equation, and the estimation of parameters is performed by maximizing the likelihood written in terms derived from a Kalman filter algorithm. We also present a procedure to calculate volatility and Value-at-Risks forecasts. The proposal is evaluated by means of Monte Carlo experiments and applied to real-life time series, where an illustration of market risk calculation is presented." @default.
• W4220693654 created "2022-04-03" @default.
• W4220693654 creator A5034770100 @default.
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• W4220693654 date "2022-03-25" @default.
• W4220693654 modified "2023-10-02" @default.
• W4220693654 title "Estimation and forecasting of long memory stochastic volatility models" @default.
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• W4220693654 doi "https://doi.org/10.1515/snde-2020-0106" @default.
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