Comparison analysis of stochastic volatility model
Chunfeng Wang, Xiaolin Wu · Journal of systems engineering · 2005
The stochastic volatility(SV) model based on the mean conditional normal distribution is compared with that based on the conditional heavy_tailed distribution. The results of empirical study indicate that the SV models based on the heavy_tailed distribution account more adequately for the features of the return series and volatility of Chinese stock market than that based on the normal distribution.