Identification of bates stochastic volatility model by using non-central chi-square random generation method

Shin Ichi Aihara, Arunabha Bagchi, Saikat Saha

Abstract: We study the identification problem for Bates stochastic volatility model, which is widely used as the model of a stock in finance. By using the exact simulation method, a particle filter for estimating stochastic volatility and its systems parameters is constructed. Simulation studies for checking the feasibility of the developed scheme are demonstrated.