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Editors contains: "Sangalli, Laura"

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  1. ; (, Statistics probability letters)
    Xiao, Yimin; Sangalli, Laura (Ed.)
    There is a widely known intriguing phenomenon that discrete-time GARCH and stochastic volatility (SV) models share the same continuous-time diffusion model as their weak convergence limit, but statistically, the GARCH model is not asymptotically equivalent to the SV or diffusion model. This paper investigates GARCH-type quasi-likelihood ratios for the SV and diffusion models whose own likelihoods are analytically intractable. We show that the two quasi-likelihood ratios for the SV and diffusion models asymptotically have the same closed-form expression that is different from the limiting likelihood ratio of the GARCH model. 
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