Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Duke University, Department of Economics - 2002
This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors …, (2) affine models have to have a jump in returns, stochastic volatility or probably both. Models (1) and (2) are … observationally equivalent on the data set in hand. In either (1) or (2) the key is that the volatility can move violently. As we …