Modelling Bilinear Stochastic Volatility
نویسنده
چکیده
Some relationships between ARCH-type and Stochastic Volatility models are investigated. New model formulations are derived through a transformation of a GARCH-M process and the name Generalized Bilinear Stochastic Volatility is suggested. Markovian-type representations are presented and estimation algorithms are proposed.
منابع مشابه
Misspecifying GARCH-M Processes
We consider th e relationships between ARCH-type and stochast ic volatility models. A new class of volatility models, called generalized bilinear stochastic volatility, is described following an approach that tr ansforms an init ial GARCH-M process. Th e focus here is on th e interpretation of some simulation results, with a special care devoted to model misspecification.
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