Allen, David E. - In: Journal of risk and financial management : JRFM 13 (2020) 9/202, pp. 1-26
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken...
