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.
TGARCH model shows CSI-300 futures reduce spot price volatility.
In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution are examined. The new development allows for the modeling of volatility clustering effects, the leptokurtic and the skew…
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
In this article we present an approach that enables joint wind speed and wind power forecasts for a wind park. We combine a multivariate seasonal time varying threshold autoregressive moving average (TVARMA) model with a power threshold generalized autoregressive conditional heteroscedastic (power-TGARCH) model. The mo…