This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market … investigate economic (or market) sources of volatility shifts, without relying on exogenous information from the sample. In … effects of large return shocks on future levels of market volatility. The above properties of the model are shown based on a …

A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted … Hedge Index). The results presented here show promising application in modelling and predicting volatility, as well as … identifying current volatility regimes predominating the market …

evidence for stochastic intensity and stochastic volatility models based on Ornstein-Uhlenbeck processes. For our empirical …

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic … volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated … stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

that is embedded in the time-varying parameter path. We illustrate our findings in a volatility analysis for monthly …