is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility … to a parametric approach, namely the multivariate GARCH model. -- stochastic volatility model ; adaptive estimation …