1. suggested that GARCH models outperform SV models in modeling exchange rates but the opposite is true for stock index returns. Kim, Shephard and Chib (1998) found SV models are superior to simple GARCH but inferior to Student t-GARCH models. Hwang and Satchell (2000) argued that GARCH models are more suitable for describing some stylized facts of volatility while SV models were developed to capture the arrival of information;Andersen;1996) compared the performance of both models using IBM stock returns and found that neither dominates the other. Heynen and Kat,1994