Testing Data Cloning as the Basis of an Estimator for the Stochastic Volatility in Mean Model

Table 1

Estimates of the stochastic volatility model parameters using the data-cloning method.

Parameter	Real value	Data-cloning estimates	SD	95% confidence intervals	MCMC estimates	SD (MCMC)
ϕ	0.97	0.8879	0.03931	(0.5433 and 1.2324)	0.8335	0.2077
ση	0.12	0.1478	0.03758	(−0.1816 and 0.4771)	0.1910	0.1220
	0.2	0.2130	0.06577	(−0.3635 and 0.7895)	0.2036	0.0392
b	0.2	0.2192	0.01462	(0.0911 and 0.3474)	0.1199	0.0676