The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

This paper examines the capabilities of the Normal Inverse Gaussian distribu-tion 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.

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Year of publication:	2001
Authors:	JENSEN, MORTEN B. ; LUNDE, ASGER
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 4.2001, 2, p. 10-10
Publisher:	Royal Economic Society - RES
Subject:	Normal Inverse Gaussian distribution \| Observation driven model \| Nonlinear state space model \| Filtering

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005100156