扩散过程波动率核估计的一致相合性

Consistency of Kernel Estimation of Volatility in Diffusion Process

受Kristensen(2016)^([1])对波动率研究的影响,在随机波动率模型的两步估计法的基础上,证明了该估计量的一致相合性,并给出了新的收敛速度,结合数值分析,发现选取的时间间隔越短,真值线和模拟线的拟合程度越好。

Influenced by Kristensen(2016),based on the two⁃step estimation method of stochastic volatility model,the uniform consistency of the estimator is proved,and the new convergence rate is given.Combined with numerical analysis,it is found that the shorter the selected time interval,the higher simulation line fitting true value line.