The Methods Bayesian Analysis of the Threshold Stochastic Volatility Model

The paper considers the Bayesian analysis of the threshold stochastic volatilitymodels. Studies of methods for analyzing stochastic volatilityand improving models of stochastic volatilitysignificantly improve the quality of forecast models and their estimates. Bayesian inferenceis performed by tailoring Markov chain Monte Carlo(MCMC) or sequential Monte Carlo (SMC) schemes that take into account the specific characteristics of models. The results of applying the method demonstrated in models heteroscedasticnon- stationary processes.