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Threshold Leverage Stochastic Volatility Model with Jump
Journal: International Journal of Science and Research (IJSR) (Vol.5, No. 10)Publication Date: 2016-10-05
Authors : Yao Meng;
Page : 87-89
Keywords : Threshold; Leverage; Stochastic volatility; Jump;
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Find it from : Google Scholar
Abstract
This paper extends a triple-threshold leverage stochastic volatility model in Wu and Zhou (2015) by incorporating jump in mean equation and volatility equation. In this paper the volatility is treated as observable, in particular, the realized volatility is considered in the paper to be a proxy for the latent true volatility.
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