Aggregations and Marginalization of Garch and Stochastic Volatility Models

Nour Meddahi and Eric Renault

Working Papers from Toulouse - GREMAQ

Abstract: The 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.

Keywords: ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C43 (search for similar items in EconPapers)
Pages: 68 pages
Date: 1996
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Citations: View citations in EconPapers (28)

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Working Paper: Aggregations and Marginalization of GARCH and Stochastic Volatility Models (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:gremaq:96.433

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