Volatility Estimation For Covid-19 Daily Rates Using Kalman Filtering Technique

This paper discusses the use of stochastic modeling in the prognosis of Corona Virus-Infected Disease 2019 (COVID-19) cases. COVID-19 is a new disease that is highly infectious and dangerous. It has deeply shaken the world, claiming the lives of over a million people and bringing the world to a lockdown. So, the early detection of COVID is essential for the patients' timely treatment and preventive measures. A filtering technique with time-varying parameters is presented to predict the stochastic volatility (SV) of COVID-19 cases. The time-varying parameters are estimated using the Kalman filtering technique based on the stochastic component of data volatility. Kalman filtering is essential as it removes insignificant information from the data. We forecast one-step-ahead predicted volatility with +/- 3 standard prediction errors, which is implemented by Maximum Likelihood Estimation. We conclude that Kalman filtering in conjunction with the SV model is a reliable predictive model for COVID-19 since it is less constrained by the past autoregressive information.