A discussion on the innovation distribution of the Markov regime-switching GARCH model
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Description
The Markov Regime-Switching Generalized autoregressive conditional heteroskedastic (MRS-GARCH) model is a widely used approach to model the financial volatility with potential structural breaks. The original innovation of the MRS-GARCH model is assumed to follow the Normal distribution, which cannot accommodate fat-tailed properties commonly existing in financial time series. Many existing studies point out that this problem can lead to inconsistent estimates. To overcome it, the Student's...[Show more]
Collections | ANU Research Publications |
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Date published: | 2016 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/103514 |
Source: | Economic Modelling |
DOI: | 10.1016/j.econmod.2015.11.018 |
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01_Shi_A_discussion_on_the_innovation_2016.pdf | 626.94 kB | Adobe PDF | Request a copy |
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