Fractionally integrated GARCH model with tempered stable distribution: a simulation study (Q5138749)
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scientific article; zbMATH DE number 7282184
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| English | Fractionally integrated GARCH model with tempered stable distribution: a simulation study |
scientific article; zbMATH DE number 7282184 |
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Fractionally integrated GARCH model with tempered stable distribution: a simulation study (English)
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4 December 2020
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long memory
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FIGARCH model
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fat-tailed distribution
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tempered stable distribution
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maximum likelihood estimation
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0.772874116897583
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0.7712677121162415
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0.7648656964302063
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0.7636165022850037
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