Optimization in volatility estimation for imperfect financial markets: a GARCH modeling analysis

This study aims to enhance the accuracy of volatility estimation in imperfect financial markets, particularly during the COVID-19 pandemic and non-pandemic periods. It also examines the dynamic behavior of volatility, focusing on how market imperfections influence volatility, particularly during per...

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Autori principali:	Muhammad Atif Sattar, Shenjunxin, Muhammad Naeem, Muhammad Fakhar Zaman, Muhammad Waseem
Natura:	Artigo
Lingua:	Inglês
Pubblicazione:	Taylor & Francis Group 2026-12-01
Serie:	Journal of Applied Economics
Soggetti:	Volatility estimation market imperfections GARCH modeling shannon entropy G10—General G12—Asset pricing
Accesso online:	https://www.tandfonline.com/doi/10.1080/15140326.2026.2656018
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