So, Mike K.P.; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 96-108
distribution and the generalized error distribution (GED). A Bayesian approach using a reversible-jump Markov chain Monte Carlo … returns, we find that the fitted t error distribution outperforms the GED. In terms of volatility forecasting, models with t …