Sudden and rapid changes in the economy leads to an increase in volatility. The fact that high volatility in financial … markets brings along an increase in risk made it necessary to model it. Modeling volatility, which is accepted as a measure of … risk, will benefit investors in their attitudes towards risk. The volatility of financial variables such as exchange rates …

To capture mean and variance asymmetries and time-varying volatility in financial time series, we generalize the … threshold stochastic volatility (THSV) model and incorporate a heavy-tailed error distribution. Unlike existing stochastic … volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time …