International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064


Downloads: 126 | Views: 208

Research Paper | Mathematics | China | Volume 5 Issue 10, October 2016


Threshold Leverage Stochastic Volatility Model with Jump

Yao Meng


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.


Keywords: Threshold, Leverage, Stochastic volatility, Jump


Edition: Volume 5 Issue 10, October 2016,


Pages: 87 - 89


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