Kalman filter-based modelling and forecasting of stochastic volatility with threshold

DOI10.1080/02664763.2014.963524OpenAlexW1980567051MaRDI QIDQ5130165

Prajneshu, Himadri Ghosh, Bishal Gurung

Publication date: 4 November 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2014.963524

zbMATH Keywords

Kalman filterasymmetric volatilityAR-SV modelAR-SVT modeloptimal out-of-sample forecastsUQML method

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

On periodic autoregressive stochastic volatility models: structure and estimation ⋮ Data cloning estimation for asymmetric stochastic volatility models

Uses Software

• Matlab

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• The use of GARCH models in VaR estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Some recent developments in stochastic volatility modelling
• Non-Linear Time Series Modeling of Volatile Onion Price Data Using AR(p )-ARCH( q)-In-Mean
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