the stochastic variance. Our class encompasses the usual GARCH models and various asymmetric GARCH models. Moreover, our … natural extension of the weak GARCH models. Our extension has four advantages: i) we do not assume that the fourth moment is … finite; ii) we allow for asymmetries (skewness, leverage effect) that are excluded by the weak GARCH models; iii) we derive …

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and … which can be used to test GARCH against SV. We discuss model representation, parameter estimation and a simple test for …

Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …

, noncontinuous distributions, and very general serial dependence (linear or nonlinear) including GARCH-type and stochastic volatility …