On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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5 results for “ARIMA-GARCH”

Synthetic Financial Data Generation for Enhanced Financial Modellingcs.LG

Unified framework evaluates synthetic financial data models.

problem Data scarcity and confidentiality in finance hinder model development and testing.

method Multi-criteria evaluation of three generative paradigms: ARIMA-GARCH, VAEs, and TimeGAN.

result TimeGAN achieves the best balance between realism and temporal coherence.

synthetic data financial modeling ARIMA-GARCH VAEs TimeGAN

2025-12-25abs ↗pdf ↗

Bitcoin Forecasting with Classical Time Series Models on Prices and Volatilityq-fin.ST

Classical time series models forecast Bitcoin prices and volatility accurately.

problem Forecasting Bitcoin prices and volatility using classical models.

method ARIMA, SARIMA, GARCH, and EGARCH models were trained and tested on Bitcoin price data.

result ARIMA models performed best for short-term price dynamics, while EGARCH models were best for volatility.

Bitcoin time series forecasting ARIMA GARCH EGARCH

2025-11-09abs ↗pdf ↗

A first econometric analysis of the CRIX familyq-fin.ST

An econometric analysis of CRIX family indices.

problem Understanding the dynamics of CRIX family indices for pricing.

method Time-series econometric analysis using ARIMA and GARCH models.

result ARIMA(2,0,2)-t-GARCH(1,1) model captures volatility clustering and fat-tails.

CRIX family econometrics time series ARIMA GARCH

2020-09-25abs ↗pdf ↗

Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indicesq-fin.PM

Paper proposes novel hedging strategies using LSTM models for diversified investment portfolios.

problem Hedging risky asset portfolios in turbulent financial markets.

method Four diverse models (LSTM, ARIMA-GARCH, momentum, contrarian) generate price forecasts for diversified AIS.

result LSTM-based strategies outperform other models, with Bitcoin being the best diversifier for S&P 500 index.

Algorithmic Investment Strategies Hedging Long Short-Term Memory Time Series Models Equity Indices

2023-09-27abs ↗pdf ↗

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchangeq-fin.ST

The paper tackles temporal coverage bias in financial panel data, proposing a structuring framework to correct for incomplete histories.

problem Incomplete histories of financial instruments lead to biased panel data.

method Formalizes the problem and proposes a coverage-aware structuring framework using structured metadata and an availability matrix.

result The framework reveals substantial distortions in return dynamics and volatility when naive temporal alignment is used.

Temporal Coverage Bias Financial Panel Data Coverage-Aware Structuring Dhaka Stock Exchange ARIMA

2026-03-09abs ↗pdf ↗