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 ...

The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against ...

In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...