Economics, Econometrics and Finance
8 years ago

Mixed GARCH-Jump Models Improve Stock Market Return Predictions in US and Asia.

Advances in intelligent systems and computing
A Bayesian Perspective on Mixed GARCH Models with Jumps
Cathy W. S. Chen, Edward M.H. Lin, Yi-Ru Lin

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The article explores a new type of statistical model that combines jumps and volatility effects to better understand stock market returns. By using a Bayesian approach and advanced sampling techniques, the researchers found that this mixed model provides a more accurate representation of daily return dynamics in the US and two Asian markets compared to traditional models.