The volatility component models have received much attention recently, not only because of their ability to capture … breaks or non-stationarities in asset price volatility. The paper studies the distributional properties of various volatility … mixing property to the volatility component models are derived. Hence, the paper revisits the component models from a …

suitability of the model, highlighting the presence of both mean and volatility (size) asymmetry; while the model is favoured over …

In recent years, there has been substantive empirical evidence that stochastic volatility is rough. In other words, the … local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional … not assume any a priori relationship between volatility estimators and true volatility. Furthermore, our estimator attains …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …