subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with … model a time-varying generalization of the HAR model for the realized volatility series. It emerges that during the recent … stochastic volatility model suggest that the change in the dynamic structure of the realized volatility during the financial …

section compares stochastic volatility models with GARCH. …