Volatility Fitting Performance of QGARCH(1,1) Model with Student-t, GED, and SGED Distributions

Volatility Fitting Performance of QGARCH(1,1) Model with Student-t, GED, and SGED Distributions

The research had two objectives. First, it compared the performance of the Generalized Autoregressive Conditional Heteroscedasticity (1,1) (GARCH) and Quadratic GARCH (1,1) (QGARCH)) models based on the fitting to real data sets. The model assumed that return error follows four different distributio...

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Bibliographic Details
Main Authors: Didit Budi Nugroho, Bintoro Ady Pamungkas, Hanna Arini Parhusip
Format: Article
Language:English
Published: Bina Nusantara University 2020-12-01
Series:ComTech
Subjects:
volatility fitting performance
quadratic generalized autoregressive conditional heteroscedasticity (qgarch)
student-t
general error distribution (ged)
skew ged (sged)
Online Access:https://journal.binus.ac.id/index.php/comtech/article/view/6391

Internet

https://journal.binus.ac.id/index.php/comtech/article/view/6391

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