Preminger, Arie (contributor); … - 2006
CORE DISCUSSION PAPER
2006/42
Deciding between GARCH and stochastic volatility
via strong decision rules
Arie Preminger …1 Christian M. Hafner2
Abstract
The GARCH and stochastic volatility (SV) models are two competing, well-known
and often … used models to explain the volatility of flnancial series. In this paper,
we consider a closed form estimator for a …