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

Table 2

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

Parameter	Real value	Data-cloning estimates	SD	Confidence intervals	MCMC estimates	SD (MCMC)
ϕ	0.97	0.9717	0.0053	(0.9055 and 1.0379)	0.9368	0.0810
ση	0.12	0.1386	0.0171	(−0.0736 and 0.3509)	0.1878	0.0807
	0.2	0.1831	0.0671	(−0.6493 and 1.0155)	0.1717	0.0511
b	0.2	0.2548	0.0103	(0.1267 and 0.3829)	0.2527	0.0654
d	0.1	0.1386	0.0171	(−0.1454 and 0.4145)	0.1402	0.1408