The Comparative Research between the SV and Garch Models on Their Abilities to Describe Financial Time Series
Yu Su · Systems Engineering · 2002
In this paper two typical characters of the financial time series are introduced. Then the comparative research between the SV models and the GARCH models is carried out about their abilities to describe and copy those facts. Both the theoretical and the experimental studies manifest that the SV model is superior to the GARCH model at this point. Some measures for improving the SV model are supplied in this paper.