65th ISI World Statistics Congress 2025

65th ISI World Statistics Congress 2025

Stochastic Volatility Models with Correlated Errors

Conference

65th ISI World Statistics Congress 2025

Format: IPS Abstract - WSC 2025

Keywords: stochastic volatility models

Session: IPS 862 - Recent Advances in Probability Models and Their Applications

Wednesday 8 October 10:50 a.m. - 12:30 p.m. (Europe/Amsterdam)

Abstract

A class of stochastic volatility models with Markov dependent errors is introduced to analyse financial time series. Detailed analysis is carried out when the errors are generated by a first order product autoregressive model. The second order properties of the resulting sequence are discussed. The parameters are estimated using generalized method of moments. Simulation studies and data analysis are provided to illustrate the applications.