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- Wed Jul 29, 2015 1:16 am
- Forum: Estimation
- Topic: Inference with GED distribution in GARCH models
- Replies: 5
- Views: 7237
Re: Inference with GED distribution in GARCH models
I have a similar question. Maybe you can help. I'm trying to model a return series that has extremely fat tails and ARCH effects. I've tried estimating GARCH(1,1) models which does help and reduces the kurtosis and takes care of the ARCH effects. My issue is, that I'm worried whether the model is we...