This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic … volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework … returns and logarithmic realized volatility but also enables flexible adjustments for estimation bias in realized volatility …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …