Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t …