Stochastic Volatility Models: Estimation and Prediction

• Grant number: 25/06569-2
• Support Opportunities: Regular Research Grants
• Start date: August 01, 2025
• End date: January 31, 2028
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Principal Investigator: Ricardo Sandes Ehlers
• Grantee: Ricardo Sandes Ehlers
• Host Institution: Instituto de Ciências Matemáticas e de Computação (ICMC). Universidade de São Paulo (USP). São Carlos , SP, Brazil
• City of the host institution: São Carlos

Abstract

The main objective of this research project is to propose new methodologies and models for the estimation and prediction of economic and financial time series in the univariate, multivariate and high dimensional cases. These will be applied to real macroeconomic andfinancial market data. A Bayesian approach will be adopted, aiming at improving prediction precision and computational efficiency. The computer codes refering to models and methologies developed in this project will be made available in public repositories, promoting the reproducibility and supporting applications both in the academic andmarket contexts. (AU)