Using Bootstrap In Some Volatility Models

Stochastic variance models where the logarithmic volatility is modelled by an ARMA process and models with conditional heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is considered and estimated from daily observations by bootstrap. Asymptotic properties of bootstrap estimators and the consistency of the method are studied.

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Year of publication:	2000
Authors:	Prášková, Zuzana
Published in:	Bulletin of the Czech Econometric Society. - Česká ekonometrická společnost - CES. - Vol. 7.2000
Publisher:	Česká ekonometrická společnost - CES
Subject:	Volatility \| stochastic variance \| heteroscedasticity \| bootstrap \| wild bootstrap

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Extent:	text/html
Type of publication:	Article
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008528874