Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is a statistical model used to forecast the volatility of financial time series data, such as stock returns. It is ...
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 ...
Il cuore del progetto è l'implementazione di un modello GARCH(1,1) per catturare il fenomeno del volatility clustering, confrontare le stime con i dati storici e prevedere l'andamento futuro della ...
We investigate the empirical performance of hedging strategies based on Greeks, such as Delta and Delta-Gamma, for (European-style) crude oil options in a generalized autoregressive conditional ...
1 School of Economics and Statistics, Guangzhou University, Guangzhou, China. 2 Department of Statistics, George Washington University, Washington, USA. This paper aims to study the GARCH-X model ...
In addition, you can consider the model with disturbances following an autoregressive process and with the GARCH errors. The AR(m)-GARCH(p,q) regression model is denoted Nelson and Cao (1992) proposed ...
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