Original title: Volatility extraction using the Kalman filter
Translated title: Extrakce volatility pomocí Kalmanova filtru
Authors: Kuchyňka, Alexandr
Document type: Research reports
Year: 2008
Language: eng
Series: Research Report, volume: 10
Abstract: [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.
Keywords: Kalman filter; volatility
Project no.: CEZ:AV0Z10750506 (CEP), LC06075 (CEP)
Funding provider: GA MŠk

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2008/E/kuchynka-volatility extraction using the kalman filter.pdf
Original record: http://hdl.handle.net/11104/0165316

Permalink: http://www.nusl.cz/ntk/nusl-39394


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Research > Institutes ASCR > Institute of Information Theory and Automation
Reports > Research reports