A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

Dimitris N. Politis

A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 105-124 from Emerald Group Publishing Limited

Abstract: A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical maximum likelihood is also given, and a real data example is worked out.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(05)20004-x

DOI: 10.1016/S0731-9053(05)20004-X

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