Economics, Econometrics and Finance
4 years ago

New method predicts financial market volatility without distribution assumptions.

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ARCH and GARCH Models: Quasi-Likelihood and Asymptotic Quasi-Likelihood Approaches
Raed Alzghool

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The article discusses ways to estimate ARCH and GARCH models using QL and AQL methods. QL doesn't need specific distribution assumptions but requires knowledge of the process's first two moments. AQL is recommended when the conditional variance is unknown, using kernel estimation instead. The methods were applied to exchange rates and crude oil prices, showing promising results.