forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …