Bayesian Comparison of GARCH and Stochastic Volatility
Stochastic volatility models, particularly the SV-M model, are more effective than GARCH models in modelling inflation rates across 18 developed countries.
Featured in No. 41 on 20 Mar 2024 ·
- Released
- 23 Aug 2023
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- No. 41 · 20 Mar 2024
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- RePEc:taf:reroxx:v:36:y:2023:i:1:p:2112-2136
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