Název:
Volatility extraction using the Kalman filter
Překlad názvu:
Extrakce volatility pomocí Kalmanova filtru
Autoři:
Kuchyňka, Alexandr Typ dokumentu: Výzkumné zprávy
Rok:
2008
Jazyk:
eng
Edice: Research Report, svazek: 10
Abstrakt: [eng][cze] This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the finite sample distribution of the proxy.Práce se zabývá modelováním volatility finančních výnosů.
Klíčová slova:
Kalman filter; volatility Číslo projektu: CEZ:AV0Z10750506 (CEP), LC06075 (CEP) Poskytovatel projektu: GA MŠk