Download or read book Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing written by Achal Awasthi and published by . This book was released on 2018 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we propose a generalized Heston model as a tool to estimate volatility. We have used Approximate Bayesian Computing to estimate the parameters of the generalized Heston model. This model was used to examine the daily closing prices of the Shanghai Stock Exchange and the NIKKEI 225 indices. We found that this model was a good fit for shorter time periods around financial crisis. For longer time periods, this model failed to capture the volatility in detail.