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New method predicts financial market volatility with unprecedented accuracy.

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Communications in Statistics - Simulation and Computation
Quasi-maximum likelihood estimation of GARCH with student distributed noise
K. Djeddour-Djaballah, L. Kerar

Paper Summary

The researchers found that they can accurately estimate a GARCH process with Student distribution using a method called quasi-maximum likelihood estimation. They showed that this method is reliable and can be used to predict future outcomes.

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