Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering
Aim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015). Methodology: The iterated filtering method is a frequentist-based technique that through multiple repetitions of th...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2024-03-01
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| Series: | Ekonometria |
| Online Access: | https://journals.ue.wroc.pl/eada/article/view/1064 |
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| author | Piotr Szczepocki |
| author_facet | Piotr Szczepocki |
| author_sort | Piotr Szczepocki |
| collection | DOAJ |
| description | Aim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015). Methodology: The iterated filtering method is a frequentist-based technique that through multiple repetitions of the filtering process, provides a sequence of iteratively updated parameter estimates that converge towards the maximum likelihood estimate. Results: The effectiveness of the proposed estimation method was shown in an empirical example in which the Cholesky Multivariate Stochastic Volatility Model was used in a study on safe-haven assets of one market index: Standard and Poor’s 500 and three safe-haven candidates: gold, Bitcoin and Ethereum. Implications and recommendations: In further research, the iterating filtering method may be used for more advanced multivariate stochastic volatility models that take into account, for example, the leverage effect (as in Ishihara et al., 2016) and heavy-tailed errors (as in Ishihara and Omori, 2012). Originality/Value: The main contribution of the paper is the proposition of a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on iterated filtering algorithm This is one of the few frequentist-based statistical inference methods for multivariate stochastic volatility models. |
| format | Article |
| id | doaj-art-f33a5e10c9b94a61b92cb5edf1a1053a |
| institution | DOAJ |
| issn | 2449-9994 |
| language | English |
| publishDate | 2024-03-01 |
| publisher | Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu |
| record_format | Article |
| series | Ekonometria |
| spelling | doaj-art-f33a5e10c9b94a61b92cb5edf1a1053a2025-08-20T03:08:48ZengWydawnictwo Uniwersytetu Ekonomicznego we WrocławiuEkonometria2449-99942024-03-012741065Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated FilteringPiotr Szczepocki0Uniwersytet ŁódzkiAim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015). Methodology: The iterated filtering method is a frequentist-based technique that through multiple repetitions of the filtering process, provides a sequence of iteratively updated parameter estimates that converge towards the maximum likelihood estimate. Results: The effectiveness of the proposed estimation method was shown in an empirical example in which the Cholesky Multivariate Stochastic Volatility Model was used in a study on safe-haven assets of one market index: Standard and Poor’s 500 and three safe-haven candidates: gold, Bitcoin and Ethereum. Implications and recommendations: In further research, the iterating filtering method may be used for more advanced multivariate stochastic volatility models that take into account, for example, the leverage effect (as in Ishihara et al., 2016) and heavy-tailed errors (as in Ishihara and Omori, 2012). Originality/Value: The main contribution of the paper is the proposition of a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on iterated filtering algorithm This is one of the few frequentist-based statistical inference methods for multivariate stochastic volatility models.https://journals.ue.wroc.pl/eada/article/view/1064 |
| spellingShingle | Piotr Szczepocki Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering Ekonometria |
| title | Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering |
| title_full | Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering |
| title_fullStr | Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering |
| title_full_unstemmed | Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering |
| title_short | Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering |
| title_sort | estimation of the cholesky multivariate stochastic volatility model using iterated filtering |
| url | https://journals.ue.wroc.pl/eada/article/view/1064 |
| work_keys_str_mv | AT piotrszczepocki estimationofthecholeskymultivariatestochasticvolatilitymodelusingiteratedfiltering |