We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the...

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time-series. Analytically, we use the methodology proposed by Fernández and...

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time-series. Analytically, we use the methodology proposed by Fernández and...