We propose a novel, simple, efficient and distribution-free re‐sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to...

We introduce a new distribution useful for positively skewed dataset with heavy tails and refer to it as the “Wright distribution”. Properties involving moments, skewness and kurtosis are studied. Simulation study and derivation of the density function using fractional calculus method are...

This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the estimators...