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A Statistical Test for the Heston Model

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

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  • Gianna Figà-Talamanca

    (University of Perugia, Dipartimento di Economia)

Abstract

We introduce a formal test to detect whether a times series of financial log-returns is consistent with the Heston stochastic volatility model as data generating process. The test is based on the auto-covariance structure of the integrated volatility, which is available in closed form for the model under investigation. The test suggested in this contribution also relies on the outcomes of a companion paper where we prove asymptotic results for the distribution of sample moments of the squared log-returns in the fully-specified Heston model.

Suggested Citation

  • Gianna Figà-Talamanca, 2014. "A Statistical Test for the Heston Model," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 105-108, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_24
    DOI: 10.1007/978-3-319-05014-0_24
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