On improved volatility modelling by fitting skewness in ARCH models (Q5037037)
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scientific article; zbMATH DE number 7481455
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| English | On improved volatility modelling by fitting skewness in ARCH models |
scientific article; zbMATH DE number 7481455 |
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On improved volatility modelling by fitting skewness in ARCH models (English)
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25 February 2022
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robust test for normality
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ARCH/GARCH model
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NoVaS
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skewness
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kurtosis
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0.87965035
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0.8776626
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0.8776626
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0.87707233
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0.87373954
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0.8592988
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0.8562783
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