Realized stochastic volatility with leverage and long memory

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...

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...

Asymmetry and Leverage in Realized Volatility

Stochastic volatility and stochastic leverage

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by m...

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...