---
title: GARCH Model Selection Bias
url: https://www.ml-quant.com/papers/ssrn/4546356/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4546356
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4546356
featured: 2023-08-24
citations: unknown
topic: Econometrics & Forecasting
---


# GARCH Model Selection Bias

Information criteria can impact the robustness of the News Impact Curve in financial time series due to their restrictive or slack nature when dealing with asymmetric volatility.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4546356
- Identifier: SSRN 4546356
- Released: 2023-08-02
- First featured: Quant Letter No. 13 (2023-08-24): https://www.ml-quant.com/issues/2023-08-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Econometrics & Forecasting

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