'Estimation of the Stochastic Volatility Models' - Abstract

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

Jón Daníelsson
Department of Economics
University of Iceland

Pages 29-34

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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.

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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.