SVDNF

CRANSVDNFMaRDI QIDQ72994FDOQ72994

Discrete Nonlinear Filtering for Stochastic Volatility Models

Jean-François Bégin, Louis Arsenault-Mahjoubi, Mathieu Boudreault

Last update: 8 August 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.4, 0.1.0, 0.1.1, 0.1.2, 0.1.3, 0.1.5, 0.1.6, 0.1.7, 0.1.8

Description

Generates simulated paths from various financial stochastic volatility models with jumps and applies the discrete nonlinear filter (DNF) of Kitagawa (1987) <doi:10.1080/01621459.1987.10478534> to compute likelihood evaluations, filtering distribution estimates, and maximum likelihood parameter estimates. The algorithm is implemented following the work of Bégin and Boudreault (2021) <doi:10.1080/10618600.2020.1840995>.

Cites work

• Non-Gaussian State—Space Modeling of Nonstationary Time Series
• Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters

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