Testing for One-Factor Models versus Stochastic Volatility Models



Table 1: Actual sizes of the tests based on Zn,m,r for different values of m and n

Zn,m

Zn,m, 1

5% nominal size 10% nominal size

5% nominal size

10% nominal size

n=

144

m =

20

0.03

0.07

0.05

0.07

m =

27

0.03

0.07

0.03

0.07

m =

38

0.04

0.08

0.04

0.09

m =

74

0.04

0.08

0.05

0.10

m =

103

0.03

0.07

0.04

0.09

m =

n

0.00

0.00

n=

288

m =

32

0.03

0.07

0.05

0.12

m =

46

0.03

0.07

0.07

0.10

m =

67

0.03

0.07

0.07

0.10

m =

139

0.03

0.07

0.06

0.09

m =

200

0.03

0.07

0.05

0.12

m =

n

0.00

0.00

n=

576

m =

52

0.02

0.07

0.08

0.11

m =

78

0.02

0.07

0.05

0.10

m =

117

0.03

0.08

0.08

0.13

m =

259

0.03

0.08

0.04

0.08

m =

386

0.03

0.07

0.06

0.11

m =

n

0.00

0.00

n=

720

m =

61

0.03

0.08

0.07

0.10

m =

92

0.03

0.08

0.04

0.09

m =

139

0.03

0.08

0.08

0.13

m =

317

0.03

0.08

0.04

0.09

m =

478

0.02

0.07

0.05

0.10

m =

n

0.00

0.00

n=

1440

m =

100

0.03

0.07

0.07

0.12

m =

156

0.03

0.08

0.08

0.12

m =

243

0.06

0.10

0.07

0.12

m =

592

0.05

0.10

0.07

0.12

m =

923

0.05

0.11

0.08

0.13

m =

n

0.00

0.00



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