This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of … accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the … filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …

predict the sector-level S&P500 exchange-traded fund (ETF) volatility. It was found that the predictive content of co-jumps is … volatility forecasting. Additionally, we carried out Monte Carlo experiments designed to examine the relative performances of the …