Aggregations and Marginalization of Garch and Stochastic Volatility Models
AbstractThe GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept: conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set witout invalidating the model.
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Bibliographic InfoPaper provided by Toulouse - GREMAQ in its series Papers with number 96.433.
Length: 68 pages
Date of creation: 1996
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Other versions of this item:
- MEDDAHI, Nour & RENAULT, Éric, 1998. "Aggregations and Marginalization of GARCH and Stochastic Volatility Models," Cahiers de recherche 9818, Universite de Montreal, Departement de sciences economiques.
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
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