How to select the distribution of error in GARCH?
Posted: Sat Sep 10, 2011 11:41 pm
EViews offers sevreal distributions for errors in the ARCH/GARCH estimates.
How to I choose among Normal, t, and Generalized error? and What is the reason for selecting the distribution?
After choosing it, how can i test whether the choice is right?
thanks a lot.
How to I choose among Normal, t, and Generalized error? and What is the reason for selecting the distribution?
After choosing it, how can i test whether the choice is right?
thanks a lot.