A note on estimating stochastic volatility and its volatility: a new simple method

TL;DR

This paper introduces a straightforward method for estimating stochastic volatility and its volatility that works without needing volatility data series, applicable to both cross-sectional and time-series datasets.

Contribution

The paper proposes a novel, simple estimation technique for stochastic volatility and its volatility that does not rely on volatility data series.

Findings

Applicable to cross-sectional and time-series data

Does not require volatility data series

Offers a simple estimation approach

Abstract

We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.