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SSRNDerivatives & Volatility

Observable vs Latent Markov Chains for Volatility

The latent-regime Betat-EGARCH model outperforms the observable-regime Betat-EGARCH model in in-sample statistical performance, but their out-of-sample density forecasting performances are similar.

Featured in No. 35 on 30 Jan 2024 · 5 days after release

Released
25 Jan 2024
First featured
No. 35 · 30 Jan 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
3
Identifier
SSRN 4706972

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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