Export Reviews, Discussions, Author Feedback and Meta-Reviews

First provide a summary of the paper, and then address the following criteria: Quality, clarity, originality and significance. The paper introduces a GP-Vol model to flexibly capture the time-dependent changes in variance, and develops a new online algorithm for fully Bayesian inference under the model. The paper is clearly written, the developed inference method seems technically sound, and the presented results look promising. My opinion on the model itself, using a non-parametric approach such as using the GP prior on the transition function (as in the paper), seems, though, a bit an obvious way of extending the prior work developed in the finance area. So, I wouldn't put too high grade on the paper in terms of its originality.