Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity

By Xinxian Chen, Peter Reinhard Hansen, Chen Tong

Published 2026-07-07

Everscope rating

1551.7

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Split-Session Cluster GARCH. Problem types: Time Series Forecasting, Portfolio Optimization, Risk Management, Density Estimation.

arXiv:2607.03669 · Paper rankings

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