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

Table 3

Estimates of the stochastic volatility in mean model parameters using the data-cloning method in sample paths of different sizes.

Parameter	Real value	Estimates (SD) n = 100	Estimates (SD) n = 245	Estimates (SD) n = 500	Estimates (SD) n = 1000
Φ	0.97	0.9635 (0.0054)	0.9717 (0.0053)	0.9893 (0.0039)	0.9631 (0.0024)
ση	0.12	0.1143 (0.0143)	0.1386 (0.0171)	0.1401 (0.0086)	0.1465 (0.0047)
	0.2	0.4505 (0.0261)	0.1831 (0.0671)	0.5086 (0.1575)	0.2571 (0.0049)
b	0.2	0.1335 (0.0190)	0.2548 (0.0103)	0.1341 (0.0072)	0.2042 (0.0051)
d	0.1	−0.061 (0.0252)	0.1386 (0.0171)	0.0656 (0.0133)	0.1512 (0.0092)