Bootstrapping prediction intervals on stochastic volatility models

Yun Huan Lee, Tsai Hung Fan

研究成果: 雜誌貢獻期刊論文同行評審

2 引文 斯高帕斯(Scopus)

摘要

The parametric bootstrap method is applied to derive the prediction intervals for stochastic volatility models. The study adopts the parameters estimation developed by So et al. (1997) and proves the validity of the proposed bootstrap procedure for this process. The basic stochastic volatility model specifies the mean equation with standard normal error. It is found, via simulation study, that the same algorithm can be employed to the model with heavy-tailed innovations, which demonstrates the potential of the bootstrap techniques. This methodology is also applied to a real data example to predict the daily observations on the S&P 500 index and the results confirm that our interval predictions are satisfactory.

原文???core.languages.en_GB???
頁(從 - 到)41-45
頁數5
期刊Applied Economics Letters
13
發行號1
DOIs
出版狀態已出版 - 15 1月 2006

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