Chan, Joshua C. C. - 2015
We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and …,1) and SV with an AR(1) log-volatility process and more flexible models with jumps, volatility in mean and moving average … substantially improves the performance of the standard GARCH, but is unimportant for the SV model; (3) the volatility feedback …