A Realized Stochastic Volatility Model with Box-Cox Transformation
A Realized Stochastic Volatility Model with Box-Cox Transformation
复制标题
采用 Box-Cox 变换实现的随机波动率模型
DOI：
10.1080/07350015.2014.918544
复制
发表时间：
2014
影响因子：
3
通讯作者：
Tao Song
中科院分区：
文献类型：
--
作者：
Tingguo Zheng;Tao Song
本文提出了一类新的基于已实现波动率和已实现收益的已实现随机波动率模型。我们将传统使用的已实现波动率的对数变换推广到Box-Cox变换，这是一种更灵活的参数变换族。在Koopman和Scharth的基础上，提出了一种两步极大似然估计法来估计该模型。仿真结果表明，两步估计器具有较好的估计性能，错误的对数变换可能会导致参数估计不准确和一定程度的过度偏度和峰度。最后，对几个股票指数的已实现波动率指标和日收益率进行了实证研究。
This article presents a new class of realized stochastic volatility model based on realized volatilities and returns jointly. We generalize the traditionally used logarithm transformation of realized volatility to the Box–Cox transformation, a more flexible parametric family of transformations. A two-step maximum likelihood estimation procedure is introduced to estimate this model on the basis of Koopman and Scharth . Simulation results show that the two-step estimator performs well, and the misspecified log transformation may lead to inaccurate parameter estimation and certain excessive skewness and kurtosis. Finally, an empirical investigation on realized volatility measures and daily returns is carried out for several stock indices.