The exponentiated half logistic skew-t distribution with GARCH-type volatility models
Most financial time series have non-normal features such as heavy tails, excess kurtosis and skewness. Financial asset returns volatility is also a significant measure in financial decisions, option pricing, risk management, and portfolio selection, so it is important to create vigorous driven condi...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-07-01
|
| Series: | Scientific African |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2468227622001600 |