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Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

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Figure

Figure 1: Power under the misspecification of the drift function. (a): drift function withτ = 0 (solid), τ = 0.2 (dashed),τ = 0.5 (dotted),τ = 0.8 (dash-dotted),τ = 1 (purplesolid)
Figure 2: Power under the misspecification of the diffusion function. (a): drift functionwithsolid)
Figure 3: Power under different jump intensities. (a), (b), (c): n = 500 (blue), n = 1000(green), n = 2000 (red), n = 3000 (cyan)).
Figure 4: (a): Log prices of Apple stock from 2000 to 2014. (b): Log returns of Ap-ple stock: from 2000 to 2014.(c): Nonparametric density estimate.(d): Empiricaldistribution function
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