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Liquidity-adjusted Return and Volatility, and Autoregressive Models
Qi Deng / Zhong-guo Zhou
econometrics / garchResource overview

Liquidity-adjusted Return and Volatility, and Autoregressive Models

Paper2025

by Qi Deng, Zhong-guo Zhou

Tags
econometricsgarchliquiditytime seriesvolatility forecasting

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Understand this paper

Suggested foundations for financial time series and volatility models and surfaces. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

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