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Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo contraste generalizados

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  • Márcio Poletti Laurini
  • Luiz Koodi Hotta

Abstract

Neste artigo discutimos a estimação de modelos de Volatilidade Estocástica usando métodos de Verossimilhança Empírica/Mínimo Contraste Generalizados. Mostramos por meio de simulações de Monte Carlo que os métodos propostos tem desempenho superior ou equivalente aos demais métodos de estimação propostos da literatura de estimação de modelos de volatilidade estocástica, e adicionalmente possuem propriedades de robustez na presença de problemas de especificação como distribuições com caudas pesadas e presença de outliers.

Suggested Citation

  • Márcio Poletti Laurini & Luiz Koodi Hotta, 2009. "Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo contraste generalizados," Business and Economics Working Papers 074, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:074
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