is then provided together with the hedging strategy underlying portfolio adjustments. Under adequate conditions on the …

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of … volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting … ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change …