Volatility extraction using the Kalman filter

0314961 - ÚTIA 2009 CZ eng V - Výzkumná zpráva
Kuchyňka, Alexandr
Volatility extraction using the Kalman filter.
[Extrakce volatility pomocí Kalmanova filtru.]
Praha: IES FSV UK, 2008. 20 s. Research Report, 10.
Grant CEP: GA MŠMT(CZ) LC06075
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: volatility * Kalman filter
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2008/E/kuchynka-volatility extraction using the kalman filter.pdf

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the finite sample distribution of the proxy.

Práce se zabývá modelováním volatility finančních výnosů.
Trvalý link: http://hdl.handle.net/11104/0165316