Realized Stochastic Volatility with General Asymmetry and Long Memory

Realized Stochastic Volatility with General Asymmetry and Long Memory∗

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALMmodel). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of...

Realized stochastic volatility with leverage and long memory

! ! The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. In addition to the stochastic volatility model with leverage for the daily returns, ARFIMA process is jointly considered for the realized volatilities. Using a state space representation of the model, we estimate parameters by Markov chain Monte Carlo met...

Asymmetry and Leverage in Realized Volatility

Long Memory in Stochastic Volatility

Recent studies have suggested that stock markets' volatility has a type of long-range dependence that is not appropriately described by the usual Generalized Autoregressive Conditional Heteroskedastic (GARCH) and Exponential GARCH (EGARCH) models. In this paper, diierent models for describing this long-range dependence are examined and the properties of a Long-Memory Stochastic Volatility (LMSV...

A Threshold Stochastic Volatility Model with Realized Volatility

Rapid development in the computer technology has made the financial transaction data visible at an ultimate limit level. The realized volatility, as a proxy for the ”true” volatility, can be constructed using the high frequency data. This paper extends a threshold stochastic volatility specification proposed in So, Li and Lam (2002) by incorporating the high frequency volatility measures. Due t...