Statistical Methods in Finance 2025

Stochastic Volatility Models with Markov-dependent Innovations

By:N Balakrishna
IIT, Tirupati

A class of stochastic volatility models with Markov dependent errors is introduced to analyse financial time series. The second-order properties of the resulting sequence are discussed. The parameters are estimated using generalised method of moments and Markov chain Monte Carlo methods. Simulation studies and data analysis are provided to illustrate the applications.