Semiparametric GARCH via Bayesian model averaging

25 Aug 2017Wilson Ye ChenRichard H. Gerlach

As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assumptions on how prices change over time. Most volatility models impose a particular parametric functional form that relates an observed price change to a volatility forecast (news impact function)... (read more)

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