The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

vary according to whether they are in low or high volatility regimes. …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … mathematical regularity properties, including invertibility, to determine the likelihood function for estimation, and the … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …