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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

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Cornelius Nyakundi

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Open access Sep 2026

GARCH Model Based on the Geometric Measure of Variation

Every model in the GARCH family, from the original specification of Bollerslev (1986) to its many asymmetric, long-memory, and machine-learning-hybrid descendants, updates the conditional variance through an arithmetic average of squared or absolute deviations. That averaging rule rests on the one-sided triangular ineq...

Nkatet Siololo, Troon Benedict John, Cornelius Nyakundi · 0 citations
Open access Sep 2026

Maximum Likelihood Estimation and Forecasting Performance of the GARCH Model Based on the Geometric Measure of Variation

Volatility models in the GARCH family typically build the conditional scale from an arithmetic average of squared or absolute deviations, an averaging rule that is disproportionately sensitive to large shocks and, through the triangular inequality, tends to systematically overstate the true average displacement of retu...

Nkatet Siololo, Cornelius Nyakundi, Troon Benedict John · 0 citations

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