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- W1982487535 abstract "As 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." @default.
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- W1982487535 date "2007-07-07" @default.
- W1982487535 modified "2023-09-26" @default.
- W1982487535 title "Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions" @default.
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- W1982487535 doi "https://doi.org/10.1007/s00362-007-0080-5" @default.
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