Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing

dc.contributor.author	Messow, Philip
dc.date.accessioned	2013-07-04T09:09:57Z
dc.date.available	2013-07-04T09:09:57Z
dc.date.issued	2013-07-04
dc.description.abstract	GARCH- and Stochastic Volatility (SV)-models are the main workhorses for describing unobserved volatility in asset returns. Because economic theory behind these models is not the same and estimating SV-models is much more difficult, discriminating between these two rival models is of interest. This paper suggests a nonnested testing procedure going back to Davidson and MacKinnon (1981) that does not implicitly assume that one of the models is the correct one. We illustrate the proposed test by applying it to ten daily stock index return series and five exchange rate return series.	en
dc.identifier.uri	http://hdl.handle.net/2003/30410
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-5491
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;27/2013	en
dc.subject	model selection	en
dc.subject	nonnested testing	en
dc.subject	stochastic volatility	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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