This paper offers a new estimator of volatility’s common component of a return. This estimator is obtained by applying a procedure based on the generalized dynamic factor model to the observations on squared returns. A Monte–Carlo study is conducted to evaluate the performance of the proposed estimator.
Estimate of a volatility's common component in ARSV models: a simulation study / Di Iorio, F.; Triacca, U.. - In: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION. - ISSN 0094-9655. - (2022). [10.1080/00949655.2022.2152029]
Estimate of a volatility's common component in ARSV models: a simulation study
F. Di Iorio
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2022
Abstract
This paper offers a new estimator of volatility’s common component of a return. This estimator is obtained by applying a procedure based on the generalized dynamic factor model to the observations on squared returns. A Monte–Carlo study is conducted to evaluate the performance of the proposed estimator.File in questo prodotto:
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