GARCH Models under Power Transformed Returns: Empirical Evidence from International Stock Indices
This study evaluates the empirical performance of four power transformation families: extended Tukey, Modulus, Exponential, and Yeo--Johnson, in modeling the return in the context of GARCH(1,1) models with two error distributions: Gaussian (normal) and Student-t. We employ an Adaptive Random Walk M...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2021-07-01
|
| Series: | Austrian Journal of Statistics |
| Online Access: | https://www.ajs.or.at/index.php/ajs/article/view/1075 |