Hi... I am comparing the log-volatility of two SV models with an application to MATLAB. Since I am a rookie in this field, I do not know if I am wrong in interpreting the graph. In my opinion the only thing I can say is that the standard SV model underestimate the volatility in the volatility is small but I am not sure of my graph. Have you ever seen something like that? Am I completely wrong?
Here the references for the models: for the SV-MA model see: Chan, J.C.C. (2013). Moving Average Stochastic Volatility Models with Application to Inflation Forecast, Journal of Econometric, 176 (2), 162-172.
and for the standard model see: Chan, J.C.C. and Hsiao, C.Y.L (2014). Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence. In: I. Jeliazkov and X.S. Yang (Eds.),Bayesian Inference in the Social Sciences, 159-180, John Wiley & Sons, New York.