Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2005
Laplace.
JEL Classification: C16, C50
Keywords: GARCH, hyperbolic distribution, kurtosis, Laplace distribution, mix … risks. Among the models
that have been proposed to capture time{varying volatility, the GARCH process is certainly
the most …
distribution is probably due to not considering the GARCH{type dynamics in the returns.
Using the newly developed models, we …