Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult to apply due to the presence of latent variables. The existing methods are either computationally costly and/or...

In this paper, we consider the estimation of volatility parameters in the context of a linear regression where the disturbances follow a stochastic volatility (SV) model of order one with Gaussian log-volatility. The linear regression represents the conditional mean of the process and may have a...