Ding, Jie; Meade, Nigel - In: Applied Financial Economics 20 (2010) 10, pp. 771-783
The forecasting of the volatility of asset returns is a prerequisite for many risk management tasks in finance. The objective here is to identify the volatility scenarios that favour either Generalized Autoregressive Conditional Heteroscedasticity (GARCH) or Stochastic Volatility (SV) models....