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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...
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derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …
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