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Modeling financial time series with the skew slash distribution

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URI: https://hdl.handle.net/10016/14545
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ws121108.pdf (396.27 KB)
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2012-06
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Abstract
Financial returns often present moderate skewness and high kurtosis. As a consequence, it is natural to look for a model that is exible enough to capture these characteristics. The proposal is to undertake inference for a generalized autoregressive conditional heteroskedastic (GARCH) model, where the innovations are assumed to follow a skew slash distribution. Both classical and Bayesian inference are carried out. Simulations and a real data example illustrate the performance of the proposed methodology.
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Financial returns, GARCH model, Kurtosis, Skew slash distribution, Skewness
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DES - Working Papers. Statistics and Econometrics. WS