Tracking of Historical Volatility
| dc.creator | Goldentayer, L. | |
| dc.creator | Klebaner, F. | |
| dc.creator | Liptser, R. | |
| dc.date | 2004-04-15 | |
| dc.date.accessioned | 2026-07-07T08:06:15Z | |
| dc.date.available | 2026-07-07T08:06:15Z | |
| dc.description | We propose an adaptive algorithm for tracking of historical volatility. The algorithm is built under the assumption that the historical volatility function belongs to the Stone-Ibragimov-Khasminskii class of $k$ times differentiable functions with bounded highest derivative and its subclass of functions satisfying a differential inequalities. We construct an estimator of the Kalman filter type and show optimality of the estimator's convergence rate to zero as sample size $n\to\infty$. This estimator is in the framework of GARCH design, but a tuning procedure of its parameters is faster than with traditional GARCH techniques. | |
| dc.description | 20 pages, 4 figures | |
| dc.identifier | https://arxiv.org/abs/math/0404277 | |
| dc.identifier | http://arxiv.org/abs/math/0404277 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/130542 | |
| dc.subject | Probability | |
| dc.subject | Optimization and Control | |
| dc.subject | Statistics Theory | |
| dc.subject | 60G35, 60G51, 62G05, 62M20, 91B70 | |
| dc.title | Tracking of Historical Volatility | |
| dc.type | text |