An autoregressive model based on the generalized hyperbolic distribution

Henri Karttunen

Scandinavian Journal of Statistics, 2020, vol. 47, issue 3, 787-816

Abstract: We define a nonlinear autoregressive time series model based on the generalized hyperbolic distribution in an attempt to model time series with non‐Gaussian features such as skewness and heavy tails. We show that the resulting process has a simple condition for stationarity and it is also ergodic. An empirical example with a forecasting experiment is presented to illustrate the features of the proposed model.

Date: 2020
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https://doi.org/10.1111/sjos.12427

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816

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