Abstract:In this article we investigate the goodness-of-fit of the Heston stochastic volatility model for the Shanghai composite index and five Chinese stocks from different industries with the highest trading volume. We have jointly estimated the parameters of the Heston stochastic volatility for the daily, weekly and monthly timescales model by employing a kernel density of the empirical returns to minimize the mean-squared deviations between the theoretical and empirical return distributions. We find that the Heston… Show more
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