An extension of stochastic volatility model with mixed frequency information

•We extend the basic SV model with mixed frequency information which is referred to as the MF-SV model.•The MCMC method is discussed to realize the parameter estimation by a mixture approximation model.•The MF-SV model can significantly identify the time-varying stable component.•The MF-SV model can improve the in-sample fitting results that outperform the basic SV model.

This paper extends the SV model to the MF-SV model with mixed frequency information. We show the small sample properties with Monte Carlo experiment with MCMC method. The MF-SV model outperforms the basic SV model in the in-sample performance.