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 …

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 …