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 …

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. …

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 …

-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …