We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the ...
In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
Numerous advances in the modeling techniques of value-at-risk (VaR) have provided financial institutions with a wide range of market risk approaches. However, which model to use depends on the state ...
There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
Volatility modeling is no longer just about pricing derivatives—it's the foundation for modern trading strategies, hedging precision, and portfolio optimization. Whether you're trading gold futures, ...
Quant, as a topic to study, may not bring a smile to the numerically-challenged among most us, who may, in all probability, wince at hearing that an active area of research in quantitative finance is ...
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