Zastosowanie iterowanej filtracji do estymacji parametrów wariancji chwilowej w ramach niegaussowskich procesów stochastycznej zmienności typu Ornsteina-Uhlenbecka
Application of iterated filtering for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility processes

Summary/Abstract: The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility proces by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.

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