Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner …, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility …

A very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes is … proposed, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information … content of the range and of implied volatility using the VIX index is also analyzed. Database is the S&P 500 index. Asymmetry …

In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is … to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained … in equal time intervals. Known facts are that the volatility is not directly observable and time-varying. If we consider …

Nowcasting volatility of financial time series appears difficult with classical volatility models. This paper proposes … volatility, given past and current returns, in a very simple way. The model can be viewed as a degenerate case of the stochastic … volatility model with perfect correlation between the two error terms. It is shown that the volatility nowcasts do not depend on …

proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any … the past. For illustration, the WAR is applied to a sequence of intraday realized volatility covolatility matrices. …

. The proposed mixture EIS procedures are illustrated with ML estimation of a student-t state space model for realized … volatilities and a stochastic volatility model with leverage effects and jumps for asset returns. …

complicates estimation and inference. Further, the presence of an additional state variable|volatility|renders the model less …We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with … GARCH, but we focus on a narrower set of specifications in which volatility follows its own random process and is therefore …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

realized volatility (RV), and explore which features of that time-series model contribute to superior density forecasts over … volatility that features two components for log(RV) provides a good fit to S&P 500 and IBM data, and is a significant improvement …