generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …

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