2 search results - page 1 / 1 » REIT volatility prediction for skew-GED distribution of the ... |
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ESWA
2010
14 years 9 months ago
2010
This study investigates how specification of return distribution for REIT influences the performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST and GARC...
CSDA
2007
14 years 10 months ago
2007
In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions. This GARCH model...