plus a specific transitory factor in a multivariate stochastic volatility structure. The estimation is made through … Bayesian methods using Markov Chain Monte Carlo. The model allows recovering the changes in prices and volatility patterns … conditional volatility. Based on the results, we may conclude that the proposed model has a better performance when used to …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …