PREMINGER, Arie; HAFNER, Christian M. - Center for Operations Research and Econometrics (CORE), … - 2006
The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the volatility of financial series. In this paper, we consider a closed form estimator for a stochastic volatility model and derive its asymptotic properties. We confirm our...