The NIG-S&ARCH Model: A Fat-Tailed, Stochastic, And Autoregressive Conditional Heteroskedastic Volatility Model  

Oleh:

Jensen, Morten B. ; Lunde, Asger

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 4 no. 2 (2001), page 319-342.
Topik: Normal Inverse Gaussian distribution; Observation driven model; Nonlinear state space model; Filtering.
Fulltext: 319.pdf (301.92KB)

Isi artikel

This paper examines the capabilities of the Normal Inverse Gaussian distribution as a model for stock returns. We extend the model of Barndorff-Nielsen (1997) to allow for a richer volatility structure and compare with the existing GARCH-type models. We conclude that the proposed model outperforms some of the most praised GARCH-M models. In particular, we make a big gain in modelling the skewness of equity returns.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali