The Volatility and Density Prediction Performance of Alternative <scp>GARCH</scp> Models

DOI10.1002/FOR.1217zbMATH Open1397.62543OpenAlexW2327025018MaRDI QIDQ4687255

Teng-Hao Huang, Yaw-Huei Wang

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1217

zbMATH Keywords

normalalternative GARCH modelscompound Poisson (jump)skewed-\(t\)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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