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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.

169,291 papers · 148 categories

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0111 · Feb 201919922001200920182026
1 result for “PSEi”
Forecasting the Volatilities of Philippine Stock Exchange Composite Index Using the Generalized Autoregressive Conditional Heteroskedasticity Modelingq-fin.ST

Study finds GARCH (1,2) best model for forecasting PSEi volatilities.

problem Forecasting the volatilities of Philippine Stock Exchange Composite Index (PSEi).
method Used GARCH models to model log returns of PSEi, selecting GARCH (1,2) based on lowest AIC and highest LL values.
result GARCH (1,2) is the best model for forecasting PSEi volatilities.
GARCHPSEivolatilityforecastinglog returns
2019-02-21abs ↗pdf ↗