---
title: Duration Dependent Volatility Models with Value-weighted Approach
url: https://www.ml-quant.com/papers/ssrn/4570144/
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 4570144
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4570144
featured: 2023-09-14
citations: 0
topic: Derivatives & Volatility
---


# Duration Dependent Volatility Models with Value-weighted Approach

Using different duration values in a Markov-switching model can improve the prediction of bitcoin returns, outperforming GARCH-type models.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4570144
- Identifier: SSRN 4570144
- Released: 2022-01-01
- First featured: Quant Letter No. 15 (2023-09-14): https://www.ml-quant.com/issues/2023-09-14/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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