Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows
Here, we present a method for a simple GARCH (1,1) model to fit higher order moments for different companies’ stock prices. When we assume a Gaussian conditional distribution, we fail to capture any empirical data when fitting the first three even moments of financial time series. We show instead th...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2022/4170866 |
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