Bauwens, Luc (contributor); … - 2005
in the flexibility they provide in model
specification, compared to the use of a more simple distribution. On the other … specification of (Bollerslev 1986). The conditional distribution of the model
error term is chosen by most researchers among the … Gaussian, Student-t, and too a smaller
extent skewed versions of these and the GED distribution, see (Nelson 1991). Empirical …