Franses, Philip Hans; Paap, Richard; van der Leij, van … - Faculteit der Economische Wetenschappen, Erasmus … - 2005
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...
