In this final article of our three-part series, we demonstrate why stochastic coefficients models are well suited to predict future variables We analyze the forecasting problem and consider various criteria of prediction If a forecaster must choose one from among several coherent predictors,...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...