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9 Jun

2 Dec 2025

11 Mar 2015

Dominic Steinitz 12 min read

Introduction Simple models for e.g. financial option pricing assume that the volatility of an index or a stock is constant, see here for example. However, simple observation of time series show that this is not the case; if it were then the log returns would be white noise One approach which addresses this, GARCH (Generalised AutoRegressive … Continue reading Stochastic…

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