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GARCH distribution selection

Posted: Wed Sep 06, 2017 3:42 am
by hmurphy94
hi

in my models, if i use GED for the distribution the results come back fine. however in some cases i cant remove the autocorrelation or ARCH effects.

they remove however if i change to student t or normal distribution. however, are the results in valid if for one index or subperiod it is normally distributed and another it is student t / GED? should i keep the distribution consistent or does it matter?

thanks
hugh