Franses, Ph.H.B.F.; Leij, M.J. van der; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005
The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved …A Simple Test for GARCH against a Stochastic
Volatility Model⁄
Philip Hans Fransesy
Econometric Institute
Erasmus …
Erasmus University Rotterdam
ECONOMETRIC INSTITUTE REPORT EI 2005-41
Abstract
The GARCH model and the Stochastic Volatility …