In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
We consider a class of semiparametric GARCH models with additive autoregressive components linked together by a dynamic coefficient. We propose estimators for the additive components and the dynamic ...
Volatility modeling is no longer just about pricing derivatives—it's the foundation for modern trading strategies, hedging precision, and portfolio optimization. Whether you're trading gold futures, ...
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