{"id":"https://openalex.org/W7225737056","doi":"https://doi.org/10.54254/2754-1169/2026.38677","title":"Asset-Specific, State-Dependent, and Target-Sensitive Volatility Modeling: Evidence from GARCH-Family Forecasts Across Asset Classes","display_name":"Asset-Specific, State-Dependent, and Target-Sensitive Volatility Modeling: Evidence from GARCH-Family Forecasts Across Asset Classes","publication_year":2026,"publication_date":"2026-11-10","ids":{"openalex":"https://openalex.org/W7225737056","doi":"https://doi.org/10.54254/2754-1169/2026.38677"},"language":"en","primary_location":{"id":"doi:10.54254/2754-1169/2026.38677","doi":"https://doi.org/10.54254/2754-1169/2026.38677","is_oa":true,"landing_page_url":"https://doi.org/10.54254/2754-1169/2026.38677","pdf_url":"https://aemps.ewapub.com/article/view/38677.pdf","source":{"id":"https://openalex.org/S4387278942","display_name":"Advances in Economics Management and Political Sciences","issn_l":"2754-1169","issn":["2754-1169","2754-1177"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Economics, Management and Political Sciences","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://aemps.ewapub.com/article/view/38677.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101837255","display_name":"Yilun Wu","orcid":"https://orcid.org/0009-0005-1838-3331","observed_orcids":["https://orcid.org/0009-0005-1838-3331"]},"institutions":[{"id":"https://openalex.org/I145311948","display_name":"Johns Hopkins University","ror":"https://ror.org/00za53h95","country_code":"US","type":"education","lineage":["https://openalex.org/I145311948"]},{"id":"https://openalex.org/I4390039338","display_name":"Johns Hopkins University School of Advanced International Studies","ror":"https://ror.org/02wt5sv47","country_code":"US","type":"education","lineage":["https://openalex.org/I4390039338"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Yilun Wu","raw_affiliation_strings":["Johns Hopkins University School of Advanced International Studies"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Johns Hopkins University School of Advanced International Studies","institution_ids":["https://openalex.org/I145311948","https://openalex.org/I4390039338"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101837255"],"corresponding_institution_ids":["https://openalex.org/I145311948","https://openalex.org/I4390039338"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"313","issue":"1","first_page":"None","last_page":"None"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7146999835968018},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6952999830245972},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.5551999807357788},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49729999899864197},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.47760000824928284},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.42399999499320984},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.38929998874664307},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.32600000500679016},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.3208000063896179},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.3091000020503998},{"id":"https://openalex.org/C2778705799","wikidata":"https://www.wikidata.org/wiki/Q2823610","display_name":"Financial asset","level":2,"score":0.3086000084877014},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3005000054836273},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.29649999737739563},{"id":"https://openalex.org/C113174947","wikidata":"https://www.wikidata.org/wiki/Q2859736","display_name":"Tree (set theory)","level":2,"score":0.28529998660087585},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2825999855995178},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.27459999918937683},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.26489999890327454},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.26260000467300415},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.26010000705718994}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.54254/2754-1169/2026.38677","doi":"https://doi.org/10.54254/2754-1169/2026.38677","is_oa":true,"landing_page_url":"https://doi.org/10.54254/2754-1169/2026.38677","pdf_url":"https://aemps.ewapub.com/article/view/38677.pdf","source":{"id":"https://openalex.org/S4387278942","display_name":"Advances in Economics Management and Political Sciences","issn_l":"2754-1169","issn":["2754-1169","2754-1177"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Economics, Management and Political Sciences","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.54254/2754-1169/2026.38677","doi":"https://doi.org/10.54254/2754-1169/2026.38677","is_oa":true,"landing_page_url":"https://doi.org/10.54254/2754-1169/2026.38677","pdf_url":"https://aemps.ewapub.com/article/view/38677.pdf","source":{"id":"https://openalex.org/S4387278942","display_name":"Advances in Economics Management and Political Sciences","issn_l":"2754-1169","issn":["2754-1169","2754-1177"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Economics, Management and Political Sciences","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7225737056.pdf","grobid_xml":"https://content.openalex.org/works/W7225737056.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"whether":[3,15],"the":[4,16,106,147,155],"relative":[5],"performance":[6,82],"of":[7],"volatility":[8,73],"models":[9,60],"differs":[10,110],"across":[11,83,111],"asset":[12],"classes":[13],"and":[14,39,44,49,66,71,92,121,159],"differences":[17],"can":[18],"help":[19],"improve":[20],"forecasting.":[21],"The":[22],"study":[23],"uses":[24],"daily":[25],"data":[26],"for":[27,103,137],"U.S.":[28],"equities":[29],"(SPY),":[30],"investment-grade":[31],"bonds":[32],"(AGG),":[33],"broad":[34],"commodities":[35],"(DBC),":[36],"gold":[37],"(GLD),":[38],"listed":[40],"real":[41],"estate":[42],"(IYR)":[43],"compares":[45],"GARCH,":[46],"EGARCH,":[47,104],"FIGARCH,":[48],"component":[50],"GARCH":[51],"within":[52],"a":[53],"common":[54],"recursive":[55],"out-of-sample":[56],"framework.":[57],"Historical":[58],"MS-GARCH":[59],"are":[61,75,96],"used":[62,76],"to":[63,77],"identify":[64],"high-":[65],"low-volatility":[67],"periods,":[68],"while":[69],"VIX-based":[70],"asset-specific":[72],"states":[74],"examine":[78],"changes":[79],"in":[80],"forecast":[81],"market":[84,157],"conditions.":[85],"Forecast":[86],"routing,":[87],"GAS":[88,131,144],"Tree":[89,132],"parameter":[90],"adaptation,":[91],"machine-learning-assisted":[93],"model":[94,114],"selection":[95],"also":[97],"examined.":[98],"SPY":[99],"shows":[100],"recurring":[101],"support":[102],"but":[105,119,139],"best-performing":[107],"fixed":[108,129],"specification":[109],"assets.":[112],"Some":[113],"comparisons":[115],"show":[116],"state-dependent":[117],"performance,":[118],"routing":[120],"machine-learning":[122],"selectors":[123],"do":[124],"not":[125],"consistently":[126],"outperform":[127],"strong":[128],"benchmarks.":[130],"provides":[133],"selective":[134],"gains,":[135],"especially":[136],"AGG,":[138],"its":[140],"advantage":[141],"over":[142],"Standard":[143],"reverses":[145],"under":[146],"Garman\u2013Klass":[148],"proxy.":[149],"Model":[150],"suitability":[151],"therefore":[152],"depends":[153],"on":[154],"asset,":[156],"conditions,":[158],"evaluation":[160],"target.":[161]},"counts_by_year":[],"updated_date":"2026-11-11T12:16:26.678958","created_date":"2026-11-11T00:00:00"}