# Professor Robert Engle's work on financial volatility is featured

1 Faculty News August 13, 2019 ![Bloomberg logo](/sites/default/files/styles/246w/public/assets/images/bloomberg-logo-2018.jpg?itok=8QkuS4cr)>

Excerpt from [Bloomberg](https://www.bloomberg.com/professional/blog/global-signals-for-financial-markets-volatility-and-geopolitical-risk/) -- "Forecasting asset returns in the financial markets is notoriously difficult, but, oddly enough, volatility is more predictable: both ARCH and GARCH models show that shocks to volatility are persistent and exhibit long half-lives. Such shocks can be extracted from volatility estimators and, with this in mind, Professor [Engle](https://www.stern.nyu.edu/faculty/bio/robert-engle) has developed a new Geopolitical Volatility Factor (GPVF). The GPVF is based on the standardized residuals from a factor model with GARCH-style residuals. He then tested the model by applying estimation algorithms to nine U.S. sector ETFs and 45 MSCI country ETFs and studying the results through Monte Carlo simulations."

[Read more](https://www.bloomberg.com/professional/blog/global-signals-for-financial-markets-volatility-and-geopolitical-risk/)