The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the … simple, strongly consistent decision rules to compare the ability of the GARCH and the SV model to fit the characteristic …

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 discuss model representation, parameter estimation and a simple test for …

The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the … simple, strongly consistent decision rules to compare the ability of the GARCH and the SV model to fit the characteristic …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …