A comparative study of error distributions in the GARCH model through a Monte Carlo simulation approach-Reference-Cited by-同舟云学术

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A comparative study of error distributions in the GARCH model through a Monte Carlo simulation approach

Published:2024-03 Issue: Volume:23 Page:e01988
ISSN:2468-2276
Container-title:Scientific African
language:en
Short-container-title:Scientific African

Author:

Ampadu Samuel,Mensah Eric T.,Aidoo Eric N.,Boateng Alexander^ORCID,Maposa Daniel^ORCID

Publisher

Elsevier BV

Subject

Multidisciplinary

Reference31 articles.

1. Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student's t-error distribution;Abdullah;Financ. Innov.,2017

2. The exponentiated half logistic skew-t distribution with GARCH-type volatility models;Adubisi;Sci. Afr.,2022

3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econom.,1986

4. A conditionally heteroskedastic time series model for speculative prices and rates of return;Bollerslev;Rev. Econ. Stat.,1987

5. Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood;Calzolari;Comput. Stat. Data Anal.,2014

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