A heavy-tailed distribution for ARCH residuals with application to volatility prediction

Dimitris N. Politis

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: The quest for the ‘best’ heavy-tailed distribution for ARCH/GARCH residuals appears to still be ongoing. In this connection, we propose a new distribution that arises in a natural way as an outcome of an implicit model. The challenging application of prediction of squared returns is also discussed; an optimal predictor is formulated, and the usefulness of the new distribution for prediction is demonstrated on three real datasets.

Keywords: Heteroscedasticity; Kyrtosis; Time Series (search for similar items in EconPapers)
Date: 2004-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://www.escholarship.org/uc/item/7r89639x.pdf;origin=repeccitec (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt7r89639x

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().