The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the … the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable … stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but …

. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …

) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one …

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such …

tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit …