A new variant of estimation approach to asymmetric stochastic volatility model

This paper proposes a novel simulation-based inference for an asymmetric stochastic volatility model. An acceptance-rejection Metropolis-Hastings algorithm is developed for the simulation of latent states of the model. A simple and efficient algorithm is also developed for estimation of a heavy-tailed stochastic volatility model. Simulation studies show that our proposed methods give rise to reasonable parameter estimates. Our proposed estimation methods are then used to analyze a benchmark data set of asset returns.