"Estimation of the Stochastic Volatility Models"

Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code

Jón Daníelsson
Department of Economics
University of Iceland

Pages 29-34

Abstract

This is documentation for a C++ implementation of the simulated maximum likelihood (SML) estimation method, where the SML algorithm is applied to the stochastic volatility (SV) model. The algorithm and code can easily be adapted to a richer class of SV models, as well as to more general dynamic latent-variable models.

Bibliography

Daníelsson, Jon (1994), "Stochastic Volatility in Asset Prices, Estimation with Simulated Maximum Likelihood," Journal of Econometrics 64, 375-400.
Daníelsson, Jon (1995), "Multivariate Stochastic Volatility Models and GARCH Models," mimeo, University of Iceland.
Daníelsson, Jon and J.F. Richard (1983), "Quadratic Acceleration for Simulated Maximum Likelihood Estimation," Journal of Applied Econometrics 8, 153-173.