Compare and discuss the two volatility models

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Reference no: EM131225043

Consider the monthly log returns of General Motors stock from 1950 to 1999 with 600 observations:

(a) build a GARCH model for the series,

(b) build a stochastic volatility model for the series, and

(c) compare and discuss the two volatility models.

Reference no: EM131225043

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