Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts … implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation … stochastic shocks incorporated in the SVXmodels. The out-of-sample volatility forecasts are evaluated against dailysquared …

estimation for models with high-dimensional state vectors, and overcomes a bias-variance trade-off encountered by other sampling …

process, at present this is not the case for the Heston stochastic volatility model, where the variance is modelled as a …

considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters …

or the CAPM approach, more advanced GARCH techniques including estimating BEKK or DCC models and alternatively through … most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather … good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …