New PlogAG-SV model improves parameter estimation and captures stochastic volatility in financial time series, suggesting enhanced modeling for currency rates.
Key Points
To introduce and characterize a new periodic volatility model for financial applications.
Developed the PlogAG-SV model with stochastic volatility and threshold mechanism.
Established conditions for stationarity and moments of the model.
Conducted parameter estimation using Monte Carlo simulations.
Demonstrated robustness of parameter estimation across varied scenarios.
Illustrated effectiveness in modeling the Algerian dinar–euro exchange rate volatility.