Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - 2013
The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional … structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as … well as excellent out-of-sample forecasting performance, for financial asset returns. In this paper, we generalize the MixN-GARCH …