Modeling financial time series with the skew slash distribution

Cristina García de la Fuente, Pedro Galeano and Michael Peter Wiper

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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.

Keywords: Financial; returns; GARCH; model; Kurtosis; Skew; slash; distribution; Skewness (search for similar items in EconPapers)
Date: 2012-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws121108

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