Verhoeven, Peter; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 351-361
GARCH model under various non-normal error distributions in order to evaluate skewness and leptokurtosis. The empirical … estimated under normality, in terms of: (i) capturing skewness and leptokurtosis; (ii) the maximized log-likelihood values; and …
