Verhoeven, Peter; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 351-361
Although the generalised autoregressive conditional heteroskedasticity (GARCH) model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in capturing the effects of extreme...