Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data … via both maximum likelihood and simulation based inference approaches. In order to explore its practical performance, we … models ; simulation based inference ; value-at-risk ; expected shortfall …

basis in the simulation results a simple framework is proposed and illustrated. -- Return variability forecasting … ; financial volatility ; explanatory modelling …

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …