Hello everyone!
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!
Forecasting volatility
Moderators: EViews Gareth, EViews Moderator
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 31 guests