Franses, Philip Hans (contributor); … - 2005
A Simple Test for GARCH against a Stochastic
Volatility Model⁄
Philip Hans Fransesy
Econometric Institute
Erasmus …
Erasmus University Rotterdam
ECONOMETRIC INSTITUTE REPORT EI 2005-41
Abstract
The GARCH model and the Stochastic Volatility … [SV] model are competing
but non-nested models to describe unobserved volatility in asset returns. We pro-
pose a GARCH …