Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability
A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 < α < 2 are used for assessing the appropriateness of the stable assumption as t...
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| Format: | Article |
| Language: | English |
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MDPI AG
2016-05-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/4/2/25 |