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http://hdl.handle.net/10071/5541
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acessibilidade
DC FieldValueLanguage
dc.contributor.authorCurto, J.-
dc.contributor.authorPinto, J. C.-
dc.contributor.authorTavares, G. N.-
dc.date.accessioned2013-09-06T14:49:50Z-
dc.date.available2013-09-06T14:49:50Z-
dc.date.issued2009-
dc.identifier.issn0932-5026-
dc.identifier.urihttp://hdl.handle.net/10071/5541-
dc.description.abstractAs GARCH models and stable Paretian distributions have been revisited in the recent past with the papers of Hansen and Lunde (J Appl Econom 20: 873–889, 2005) and Bidarkota and McCulloch (Quant Finance 4: 256–265, 2004), respectively, in this paper we discuss alternative conditional distributional models for the daily returns of the US, German and Portuguese main stock market indexes, considering ARMA-GARCH models driven by Normal, Student’s t and stable Paretian distributed innovations. We find that a GARCH model with stable Paretian innovations fits returns clearly better than the more popular Normal distribution and slightly better than the Student’s t distribution. However, the Student’s t outperforms the Normal and stable Paretian distributions when the out-of-sample density forecasts are considered.eng
dc.language.isoeng-
dc.publisherSpringer-
dc.rightsopenAccesspor
dc.subjectNon-Gaussian distributionseng
dc.subjectConditional heteroskedasticityeng
dc.titleModeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributionseng
dc.typearticle-
dc.pagination311 - 321-
dc.publicationstatusPublicadopor
dc.peerreviewedyes-
dc.journalStatistical Papers-
dc.distributionInternacionalpor
dc.volume50-
dc.number2-
degois.publication.firstPage311-
degois.publication.lastPage321-
degois.publication.issue2-
degois.publication.titleModeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributionseng
dc.date.updated2019-03-26T16:30:47Z-
dc.description.versioninfo:eu-repo/semantics/acceptedVersion-
dc.identifier.doi10.1007/s00362-007-0080-5-
dc.subject.fosDomínio/Área Científica::Ciências Naturais::Matemáticaspor
iscte.identifier.cienciahttps://ciencia.iscte-iul.pt/id/ci-pub-10191-
iscte.alternateIdentifiers.wosWOS:000262577000006-
iscte.alternateIdentifiers.scopus2-s2.0-58549098260-
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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