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The GARCH(1,1)-M model: results for the densities of the variance and the mean

✍ Scribed by Ann De Schepper; Marc J. Goovaerts

Book ID: 104300008
Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 113 KB
Volume: 24
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(98)00040-7

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## ABSTRACT This study compares the volatility and density prediction performance of alternative GARCH models with different conditional distribution specifications. The conditional residuals are specified as normal, skewedHyphen;__t__ or compound Poisson (jump) distribution based upon a nonlinear