This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review the convergence properties of some numerical algorithms and available methods to bound approximation errors. We then address the convergence and accuracy properties of the simulated...

We introduce a new type of heavy-tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), to the GARCH and Glosten-Jagannathan-Runkle (1993) GARCH models, and compare its empirical performance with two other popular types of heavy-tailed distribution, the Student's t...