Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts …

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the … traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information … volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage …