SKEW NORMAL AND SKEW STUDENT-T DISTRIBUTIONS ON GARCH(1,1) MODEL
The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) type models have become important tools in financial application since their ability to estimate the volatility of financial time series data. In the empirical financial literature, the presence of skewness and heavy-tails have im...
| Автори: | , , |
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| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Universitas Diponegoro
2021-06-01
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| Серія: | Media Statistika |
| Предмети: | |
| Онлайн доступ: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/26635 |