Kim, Sung Ik - In: Financial innovation : FIN 8 (2022), pp. 1-25
In this study, a multivariate ARMA-GARCH model with fractional generalized hyperbolic innovations exhibiting fat … the ARMA-GARCH model with standard normal innovations, the parameters are estimated for the high-frequency returns of six … U.S. stocks. Subsequently, the residuals extracted from the estimated ARMA-GARCH parameters are fitted to the fractional …