Improving the Asymmetric Stochastic Volatility Model with Ex-Post Volatility: The Identification of the Return-Volatility Correlation

2021 ◽  
Author(s):  
Zehua Zhang ◽  
Ran Zhao
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Return Volatility ◽  
Ex Post ◽  
Volatility Model

scholarly journals Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps

2014 ◽  
Vol 2014 ◽  
pp. 1-10 ◽  
Author(s):  
Xu Gong ◽  
Zhifang He ◽  
Pu Li ◽  
Ning Zhu
Keyword(s):  
Stochastic Volatility ◽  
Prediction Accuracy ◽  
Financial Risk ◽  
Sample Path ◽  
Realized Volatility ◽  
Stochastic Volatility Model ◽  
Stock Index ◽  
Return Volatility ◽  
Volatility Model ◽  
Continuous Volatility

The logarithmic realized volatility is divided into the logarithmic continuous sample path variation and the logarithmic discontinuous jump variation on the basis of the SV-RV model in this paper, which constructs the stochastic volatility model with continuous volatility (SV-CJ model). Then, we use high-frequency transaction data for five minutes of the CSI 300 stock index as the study sample, which, respectively, make parameter estimation on the SV, SV-RV, and SV-CJ model. We also comparatively analyze these three models' prediction accuracy by using the loss functions and SPA test. The results indicate that the prior logarithmic realized volatility and the logarithmic continuous sample path variation can be used to predict the future return volatility in China's stock market, while the logarithmic discontinuous jump variation is poor at its prediction accuracy. Besides, the SV-CJ model has an obvious advantage over the SV and SV-RV model as to the prediction accuracy of the return volatility, and it is more suitable for the research concerning the problems of financial practice such as the financial risk management.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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