We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows … autoregressive conditional heteroskedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to …

To capture mean and variance asymmetries and time-varying volatility in financial time series, we generalize the … threshold stochastic volatility (THSV) model and incorporate a heavy-tailed error distribution. Unlike existing stochastic … volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time …