Economics, Econometrics and Finance
8 years ago

New research unlocks secrets of predicting financial market volatility!

Asymptotics for Quasi-Maximum Likelihood Estimators of GARCH(1,2) Model Under Dependent Innovations
Yingfu Xie, Jun Yu

Paper Summary

The researchers studied a statistical method for predicting financial market volatility. They found that the method works well even with some limitations, improving on previous versions.

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