Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …) models, known as the ARCH in Mean (ARCH-M)model. The estimation of ARCH models isrelatively easy compared with that of the …
