This is a summary of links featured on Quantocracy on Friday, 01/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Varying Coefficient GARCH [Sarem Seitz]As you can probably tell by my other articles (for example here, here and here), I am a big fan of GARCH models. Forecasting conditional variance is arguably the best we can get in predicting stock returns out of themselves. Still, the GARCH family is no silver bullet that suddenly makes you a stock wizard. Countless variations imply that there is no single best approach to handle conditional