Generalized Maximum Entropy and Generalized Cross Entropy are robust alternatives to OLS and other estimators. As a result, I would answer yes, to your question. Goodluck

Thank you so much Prof. Onour.

Actually the Shannon Entropy results and the EGARCH coefficient's summation for financial volatility are showing opposite direction on the same time series!!!. Can you kindly help me out with the reason.

EGARCH results are usually sensitive to underlying model specification, try different settings of EGARCH specifications.

GARCH models in general are weak when you have structural break in the data, to account for such a problem stochastic volatility models with Markov regime switching have been introduced. May be you need to check literature on these models.

Thank you so much Prof. Onour.