Yu Meng
Abstract
The stochastic volatility (SV) model introduced by and Taylor (1982) provides an alternative to the ARCH-type models of Engle (1982). The SV model is more realistic and flexible than the ARCH-type models, since it essentially involves two random processes, one for the observations, and one
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The stochastic volatility (SV) model introduced by and Taylor (1982) provides an alternative to the ARCH-type models of Engle (1982). The SV model is more realistic and flexible than the ARCH-type models, since it essentially involves two random processes, one for the observations, and one
Key concepts: Econometrics, Stochastic volatility, Constant elasticity of variance model, Volatility (finance), Economics, Bayesian probability, SABR volatility model, Computer science