-time limit. Such a finding is yet another endorsement of the recent and popular stylized fact known as rough volatility. …

In this article, we have tested the volatility of the returns of the spot exchange rate of AUD/USD for changing … better explain volatility clusters. We have selected the model with the best forecasting ability in terms of the lowest value …

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t …