Estimation method of parameter for stochastic volatility(SV)model
Jun S. Liu · Journal of Foshan University · 2011
Stochastic volatility(SV) is one of the very important models for researching the volatility of financial returns,but its main problem is that the likelihood function is hard to evaluate.It is considered to be a challenge to make researches in this problem.Estimation method of parameter in recent decade can be put into two kinds,whose advantages and disadvantages are discussed in this paper.