Kurtosis of GARCH and stochastic volatility models with non-normal innovations (Q1810673)
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scientific article; zbMATH DE number 1924790
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| English | Kurtosis of GARCH and stochastic volatility models with non-normal innovations |
scientific article; zbMATH DE number 1924790 |
Statements
Kurtosis of GARCH and stochastic volatility models with non-normal innovations (English)
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9 June 2003
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GARCH
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stochastic volatility
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kurtosis
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mixture normal distribution
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0.8225612044334412
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0.8113942742347717
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0.805797278881073
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0.7763373255729675
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0.7718420028686523
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