GARCH Quant

Research-Driven Quant Finance｜GARCH Volatility Modeling｜VaR/CVaR｜Copula Academic Research

[GARCH Quant @GARCHQuant]

Your volatility model "won" on QLIKE. Did your weights change? New research from @GARCHInstitute shows a level error can move loss by 1.0 and move risk-parity weights by 2e-16. Here is a three-line scorecard for model reviews. https://t.co/rRWYrWgbMJ

[GARCH Quant @GARCHQuant]

AI model validation also needs a market-level view. Our new research video explores how synchronized trading can strain liquidity—even with similarly accurate forecasts. Evidence from a controlled simulation.

Watch the full 13-minute video:
https://t.co/EJZWC8Zmwa

[GARCH Quant @GARCHQuant]

Two volatility-forecasting questions with direct implications for model governance:

• When does a forecast difference actually matter for allocation?
• When can model disagreement provide an early warning of fragility?

Watch:
Different Volatility Forecasts, Same Portfolio? Decision Equivalence Explained
https://t.co/hZ8Fj9AyBa

Can Model Disagreement Warn of Volatility Forecast Failure?
https://t.co/EenZDVt07N

Read:
Decision-Equivalent Volatility Forecasts
https://t.co/SC3t3QyVgY
Forecast Disagreement and Conditional Model Fragility
https://t.co/BbMGHTUgCy

[GARCH Quant @GARCHQuant]

https://t.co/mwiAc7TLSI

[GARCH Quant @GARCHQuant]

https://t.co/8lJTfDjCca

[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

https://t.co/CwkmKQgLNo

[GARCH Quant @GARCHQuant]

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[GARCH Quant @GARCHQuant]

https://t.co/mp4557AvQH

[GARCH Quant @GARCHQuant]

https://t.co/qBhSLljWoT

[GARCH Quant @GARCHQuant]

New on SSRN:
Volatility model rankings change with the loss function used for evaluation.

The evidence suggests that a superior model set is often more defensible than a unique winner in finite samples.

https://t.co/4T8owqm2NY

[GARCH Quant @GARCHQuant]

https://t.co/ENJOrwOWqo

[GARCH Quant @GARCHQuant]

https://t.co/LwMPuMRbFg

[GARCH Quant @GARCHQuant]

https://t.co/M4Yb1DMEck