-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG … indicators to help us forecast stock market volatility. Via simulation, we validated the use of four models, i.e., a univariate … us forecast stock market volatility. These are the credit spread between the U.S. Aaa corporate bond yield and the 10 …