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

Jón Daníelsson
Department of Economics
University of Iceland

Pages 29-34


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.