Malmsten, Hans - Economics Institute for Research (SIR), … - 2004
.
1
1Introduction
Model evaluation is an important part of modelling not only for the conditional
mean models but for the … be important for exam-
ple in modelling the behaviour of stock returns. As to the distribution ofz
t
,we
assume it to be … GARCH models’, Economet-
ricReviews 14, 241—266.
Engle, R. F. & Bollerslev, T. (1986), ‘Modelling the persistence of …