Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...

With volatility so closely tied to investment risk and returns, it's no wonder that a statistical method that captured time-varying volatility was deemed worthy of a Nobel Prize. Since its creation, ...

The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-like models has seldom been explored in the theoretical literature, although its potential ...