A heavy-tailed distribution for ARCH residuals with application to volatility prediction

The quest for the â€˜bestâ€™ heavy-tailed distribution for ARCH/GARCH residuals appears to still be ongoing. In this connection, we propose a new distribution that arises in a natural way as an outcome of an implicit model. The challenging application of prediction of squared returns is also discussed; an optimal predictor is formulated, and the usefulness of the new distribution for prediction is demonstrated on three real datasets.

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Year of publication:	2004-01-01
Authors:	Politis, Dimitris N.
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	Heteroscedasticity \| Kyrtosis \| Time Series

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011130678