A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate. This encounters the possible leptokurtosis and skewness of the returns.
The Skew-t GARCH model
DE LUCA, GIOVANNI;
2006-01-01
Abstract
A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate. This encounters the possible leptokurtosis and skewness of the returns.File in questo prodotto:
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