We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of … proposed methodology with an application of a 96-variable VAR with stochastic volatility to measure global bank network …

the squared return in the volatility process. The volatility of the diffusion follows an Ornstein-Uhlenbeck-type process …

. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in … volatility associated with greater variation in energy prices and the deep global recession pose significant challenges to …, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …