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stat.ME2026
Nonparametric Testing and Variable Selection for ARCH-m(X) Model
Adriano Zanin Zambom, Qing Wang
We introduce the ARCH-m(X) model, a semiparametric extension of the ARCH-X framework in which the effect of a multivariate exogenous covariate vector X on the conditional variance…
stat.ME2026
Consistent Variable Selection for GARCH-X Models
Adriano Zanin Zambom, Beck Saunders
In this paper we develop a consistent variable selection procedure for GARCH-X models that identifies the truly relevant exogenous covariates influencing volatility dynamics. The p…