@article{jilani2012estimation,
  title = {Estimation and Forecasting of Continuous Time Stochastic Volatility Model},
  author = {Faouzi Jilani and Hanen Ould Ali and Salim Ben Sassi},
  year = 2012,
  url = {https://ibimapublishing.com/articles/JFSR/2012/399418/},
  journal = {Journal of Financial Studies and Research},
  volume = 2012 (2012),
  pages = 11,
  doi = 10.5171/2012.399418,
  abstract = {This paper improves the estimation of continuous time stochastic model that treats volatility as a latent variable and compares the forecasting performance of the Kalman filter procedure with Exponential model of Autoregressive Conditional Heteroscedastisity. Our empirical study examines the stock indice TUNINDEX by using the daily close price data over the period  December 31, 1997, its creation date, to  December 31, 2009. The results suggest the significant existence of leverage effect between TUNINDEX returns and its volatility. Indeed, an unanticipated increase in Tunindex return leads to increased uncertainty that is greater than that induced by an unanticipated drop in return. Thus, the volatility forecasts based on Kalman filter model may outperform those of EGARCH model.},
  keywords = {EGARCH,-Kalman Filter,-Stochastic Volatility.},
  note = Article ID: 399418
}