The stochastic volatility model enjoys great success in modeling the time-varying volatility of asset returns. There are several specifications for volatility including the most popular one which allows logarithmic volatility to follow an autoregressive Gaussian process, known as log-normal...

A new automatic forecasting procedure is proposed based on a recent exponential smoothing framework which incorporates a Box-Cox transformation and ARMA residual corrections. The procedure is complete with well-defined methods for initialization, estimation, likelihood evaluation, and analytical...