Palmitesta, Paola; Provasi, Corrado - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1212-1212
GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is...
