This article presents two specifications for the stochastic volatility model, in order to compare them for the chosen … volatility model, although close to unitary, has a better prediction power and fitting adjustment within the sample. The AIC and …

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The …

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The …

When estimating and forecasting realized volatility in the presence of jumps, a form of bias-variance tradeoff is …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative …