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

Table 4

Estimates of the SV model parameters to estimate Bitcoin, using the data-cloning and MCMC methods.

Parameter	Data-cloning estimates	SD DC	HPD 0.95	MCMC estimates	SD MCMC
ϕ	0.4722044	0.2779	(0.0170559 and 0.9464303)	0.4165	0.26151
ση	0.1012176	0.06509	(0.0196413 and 0.3175769)	0.4825	0.3382
	0.0001425	7.516e − 6	(0.0001297 and 0.0001603)	0.0001489	4.6174e − 5
b	−0.2081462	0.02999	(−0.2671039 and −0.1502172)	−0.1194	0.1324