I am writing my thesis on forecasting volatility with GARCH , asymmetric CGARCH and TGARCH in 1-step, 5-step and 20-step assuming normal and student-t distribution and using 2 estimation windows.
I want to discuss about the link between heteroscedasticity and fat tails and also why distribution changes mainly effect the long-run.
Can you help me either by providing some relevant papers or sharing some ideas? I would be really grateful!
For econometric discussions not necessarily related to EViews.
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