Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
.ou@wiwi.hu-berlin.de. Address: Spandauer Str. 1, D-10178 Berlin,
Germany.
1
SV models can be economically motivated by the mixture-of-distribution … noise sequences. The unconditional distribution
of ht is given by
ht ∼ Nparenleftbigµh,σ2hparenrightbig, µh = µ, σ2h = σ
2η …, ut ∼ tv, (8a)
ht = µ+φ(ht−1 −µ)+ηt, ηt ∼ N(0,σ2η), (8b)
where ut follows a standardized t-distribution with v > 2 degrees …