, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we then set up … a standard New Keynesian DSGE model where total factor productivity includes rare disasters, stochastic volatility, and … stochastic volatility and GARCH is an increase in the variability of this premium. …

, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we then set up … a standard New Keynesian DSGE model where total factor productivity includes rare disasters, stochastic volatility, and … stochastic volatility and GARCH is an increase in the variability of this premium …