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