A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction

The quest for the `best' heavy-tailed distribution for ARCH/GARCH residuals appears to still be ongoing. In this connection, we propose a new distribution that arises in a natural way as an outcome of an implicit model. The challenging application of prediction of squared returns is also discussed; an optimal predictor is formulated, and the usefulness of the new distribution for prediction is demonstrated on three real datasets.

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Year of publication:	2004
Authors:	Politis, Dimitris N.
Published in:	Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 5.2004, 2, 6, p. 283-298
Publisher:	China Economics and Management Academy
Subject:	Heteroscedasticity \| Kyrtosis \| Maximum likelihood \| Time series

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009149990