随机波动模型的参数估计方法

Estimation method of parameter for stochastic volatility(SV)model

随机波动(SV)模型是研究金融收益率波动性的一种重要模型,但该模型没有精确的似然函数表达式,对其进行研究具有一定的挑战性。将近十几年来国内外学者提出的不同参数估计方法分为2类,讨论了各种方法的优缺点,并对其给予了评价。

Stochastic volatility （SV） is one of the very important models for researching the volatility of financial returns, but its main problem is that the likelihood function is hard to evaluate. It is considered to be a challenge to make researches in this problem. Estimation method of parameter in recent decade can be put into two kinds, whose advantages and disadvantages are discussed in this paper.