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Preliminary Experiments with On-Line Adaptive GARCH Models

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This lecture can be used in courses as Financial Engineering or Econometrics. The study of the volatility in financial markets and foreign exchange has gone growing in recent decades. To explore the dynamic evolution of the volatility in the literature econometric models have been proposed. This presentation shows that GARCH models have proved to provide accurate forecasts, and are difficult to beat by more sophisticated models.
 
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