[R-sig-finance] [R] Stochastic Volatility

Patrick Burns patrick at burns-stat.com
Sat Nov 5 16:14:02 CET 2005

This seems much more appropriate for R-sig-finance than
for R-help.

I'm curious why you think garch models are less satisfactory
than stochastic volatility models.  I'm not aware of any literature
that shows one dominating the other, and not even very much
that compares the two.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
(home of S Poetry and "A Guide for the Unwilling S User")

Phineas Campbell wrote:

>Has anybody implemented or tried to implement a stochastic volatility model
>using the Kalman filter following a series of papers by Harvey, Ruiz and
>This is a sophisticated approach for estimating an important class of
>models, so I am surprised that no implementation exists, is this because
>there are unforeseeable problems?
>In a related but off topic question, it has been a while since I looked at
>the non homoskedastic time series literature but back then you couldn't pick
>up a journal without reading another stochastic volatility paper, does
>anybody have any ideas why the literature has drifted back toward less
>satisfactory GARCH and EGARCH models?
>This question is somewhat moot as if I choose to pursue this I will
>implement a model myself.
>Phineas Campbell
>R-help at stat.math.ethz.ch mailing list
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

More information about the R-sig-finance mailing list