We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we dev

Time varying volatility is a characteristic of many financial series. An alternative to the popular ARCH framework is a Stochastic Volatility model which is har

This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for esti