Stock market volatility predictions improve for S&P 1500 small cap stocks
The researchers analyzed stock data from the S&P 1500 Index to find the best model for predicting stock returns. They looked at different GARCH models and found that the EGARCH model with GED errors worked best for most stocks. This model helps to predict how stock prices might change in the future. They also discovered that smaller stocks in the S&P 1500 Index had more issues with the constraints of the model.