Testing for One-Factor Models versus Stochastic Volatility Models



Table 2: Actual powers 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

0.12

0.22

0.14

0.17

m =

27

0.10

0.14

0.10

0.17

m =

38

0.14

0.18

0.09

0.15

m =

74

0.34

0.42

0.09

0.16

m =

103

0.38

0.44

0.19

0.25

m =

n

0.42

0.44

n=

288

m =

32

0.20

0.26

0.11

0.21

m =

46

0.22

0.36

0.10

0.16

m =

67

0.44

0.48

0.12

0.16

m =

139

0.54

0.56

0.33

0.45

m =

200

0.56

0.64

0.26

0.30

m =

n

0.54

0.54

n=

576

m =

52

0.22

0.26

0.11

0.16

m =

78

0.44

0.54

0.12

0.14

m =

117

0.48

0.54

0.16

0.19

m =

259

0.56

0.70

0.13

0.14

m =

386

0.84

0.88

0.70

0.76

m =

n

0.76

0.82

n=

720

m =

61

0.44

0.52

0.12

0.18

m =

92

0.40

0.54

0.14

0.18

m =

139

0.58

0.66

0.21

0.25

m =

317

0.68

0.72

0.25

0.33

m =

478

0.72

0.82

0.22

0.29

m =

n

0.76

0.88

n=

1440

m =

100

0.50

0.60

0.21

0.29

m =

156

0.55

0.75

0.20

0.24

m =

243

0.65

0.70

0.60

0.62

m =

592

0.90

0.90

0.88

0.89

m =

923

0.90

0.95

0.65

0.70

m =

n

0.95

0.95



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