Microstructure Models with Short-Term Inertia and Stochastic Volatility

Table 8

Bayes factor for model determination, April 2010.

	Heston	GARCH	Log O-U	HW	GBM
PEP ( hrs, )	27.30	25.23	21.31	17.04	6.08
GS (1/2 day, )	19.14	18.91	18.77	18.59	10.18
IBM (1/2 day, )	49.94	45.43	40.75	37.07	16.16
PEP ( hrs, )	1.08	1.07	1.06	1.04	1.00
GS (1/2 day, )	1.06	1.04	1.06	1.06	1.00
IBM (1/2 day, )	1.06	1.04	1.06	1.03	1.00

Without dynamics.