A Computationally efficient Method for Obtaining Smoothed Volatilities in Long-Memory Stochastic Volatility Models

• Autores: Francesc Marmol, Ana Pérez Espartero, Juan Carlos Reboredo Nogueira
• Localización: Anales de estudios económicos y empresariales, ISSN 0213-7569, Nº 18, 2008, págs. 69-89
• Idioma: inglés
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• Resumen

  • We provide a computationally e±cient method, based on Harvey (1998) proposal, to estimate the underlying volatility of asset returns using the Long-Memory Stochastic Volatility (LMSV ) model. The performance of our procedure is illustrated with an application to three series of daily exhange rates returns. A comparison of long memory GARCH-type volatilities with our smoothed ones is also presented.