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NITH INVESTMENTS
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What's New
GARCH and the Memory of Volatility
Markets don't have amnesia. Turbulent periods cluster together, and so do calm ones. This phenomenon is called volatility clustering and the GARCH family of models were designed to capture it parsimoniously.
In this paper, we discuss the GARCH framework and explain why it has been the backbone of volatility forecasting for nearly 40 years.
You can download our paper here.
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