Some problems with modelling asset returns using the elliptical class

Babak Eftekhari and Stephen Satchell

Applied Economics Letters, 1996, vol. 3, issue 9, 571-572

Abstract: The suitability of the elliptical distribution to model asset returns in applied work is examined. Two frameworks are identified: the first framework allows for normality testing but fails to capture the GARCH effect present in the data; the second framework captures the GARCH effect but has the disadvantage that all commonly used tests for normality have minimum power.

Date: 1996
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DOI: 10.1080/135048596355970

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