New model predicts asset volatility better than traditional methods.
The article presents a model that predicts how the volatility of asset returns changes over time. By incorporating current return information, the model can accurately forecast future volatility. The model is simple to use and can capture key patterns in asset returns, even with basic assumptions. The researchers found that their model outperformed other common models in terms of accuracy and efficiency in forecasting volatility and Value at Risk (VaR).