We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the ...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, ...

We apply a variety of volatility models in setting the initial margin requirements for central clearing counterparties (CCPs) and show how to mitigate procyclicality using a three-regime threshold ...

We investigate the empirical performance of hedging strategies based on Greeks, such as Delta and Delta-Gamma, for (European-style) crude oil options in a generalized autoregressive conditional ...

The MODEL statement specifies the dependent variable and independent regressor variables for the regression model. If no independent variables are specified in the MODEL statement, only the mean is ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...