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Stochastic Volatility models with applications to financial data

by Vita Petersone — last modified Oct 15, 2009 02:45 PM
ADMB can be used to find estimates of the basic Stochastic Volatility (SV) model and various of its extensions. We use stock data to compare three different models - the basic SV model, the skew normal SV model and the skew normal SV model with leverage effect.
Stochastic Volatility models with applications to financial data — by Vita Petersone — last modified Oct 15, 2009 02:47 PM
Data — by Vita Petersone — last modified Oct 15, 2009 02:46 PM
Templates — by Vita Petersone — last modified Oct 15, 2009 02:47 PM
Images — by Vita Petersone — last modified Oct 15, 2009 02:47 PM
Output data — by Vita Petersone — last modified Oct 15, 2009 02:48 PM
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