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Volatility models versus intensity models: analogy and differences

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  • Aknouche, Abdelhakim
  • Dimitrakopoulos, Stefanos

Abstract

We consider two popular classes of volatility models, the generalized autoregressive conditional heteroscedastic (GARCH) model and the stochastic volatility (SV) model. We compare these two models with two classes of intensity models, the integer-valued GARCH (INGARCH) model and the integer-valued stochastic volatility/intensity (INSV) model, which are corresponding integer-valued counterparts of the former. We reveal the analogy and differences of the models within the same class of volatility/intensity models, as well as between the two different classes of models.

Suggested Citation

  • Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2024. "Volatility models versus intensity models: analogy and differences," MPRA Paper 122528, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:122528
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    File URL: https://mpra.ub.uni-muenchen.de/122528/1/MPRA_paper_122528.pdf
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GARCH; integer-valued GARCH; integer-valued stochastic intensity; observation-driven models; parameter-driven models; stochastic volatility.;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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