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 …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …