Piotr Szczepocki https://orcid.org/0000-0001-8377-3831
ARTICLE

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ABSTRACT

The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.

KEYWORDS

stochastic volatility, Ornstein-Uhlenbeck process, iterated filtering

JEL

C51, C58

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