Vedat Akgiray

Overview

Vedat Akgiray is an economist affiliated with Clarkson University. He published one of the earliest rigorous applications of GARCH to US stock market returns, establishing that GARCH(1,1) is superior to ARCH and to traditional volatility forecasting methods for daily equity return series.

Key Contributions / Features

• Akgiray (1989): Applied GARCH(1,1) and ARCH(p) to CRSP daily returns (1963–1986). Demonstrated that $\{|e_t|\}$ and $\{e_t^2\}$ remain correlated after AR(1) pre-filtering — conclusive evidence of nonlinear dependence. Showed GARCH(1,1) dominates ARCH, historical averages, and EWMA for out-of-sample monthly variance forecasting. Near-IGARCH estimates ($\alpha_1 + \beta \approx 0.97$–$0.99$) anticipated the co-persistence literature.

Related

• GARCH and BEKK-GARCH
• Robert Engle