A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … diffusion processes are employed, but with the filtered/estimated volatility process replacing the latent process. Our …

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …