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Cogent Economics & Finance Volume 5, 2017 - Issue 1
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Research Article

A simulation study on the distributions of disturbances in the GARCH model

Lingbing FengInternational Institute for Financial Studies, Jiangxi University of Finance and Economics, Nanchang, Jiangxi, ChinaView further author information
&
Yanlin ShiDepartment of Applied Finance and Actuarial Studies, Macquarie University, NSW2109, AustraliaCorrespondence[email protected]
View further author information
|
Xibin ZhangMonash University, AustraliaView further author information
(Reviewing Editor)
Article: 1355503 | Received 11 Apr 2017, Accepted 09 Jul 2017, Published online: 27 Jul 2017

Citations (12)

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Emmanuel Alphonsus Akpan, Kazeem Etitayo Lasisi, Imoh Udo Moffat & Ubon Akpan Abasiekwere. (2023) Appraisal of excess Kurtosis through outlier-modified GARCH-type models. Communications in Statistics - Simulation and Computation 52:4, pages 1523-1537.
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Aastha M. Sathe & N. S. Upadhye. (2022) Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models. Journal of Applied Statistics 49:11, pages 2964-2980.
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Articles from other publishers (10)

Samuel Ampadu, Eric T. Mensah, Eric N. Aidoo, Alexander Boateng & Daniel Maposa. (2024) A comparative study of error distributions in the GARCH model through a Monte Carlo simulation approach. Scientific African 23, pages e01988.
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Yanlin Shi. (2020) A simulation study on the Markov regime-switching zero-drift GARCH model. Annals of Operations Research 330:1-2, pages 1-20.
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Richard T. A. Samuel, Charles Chimedza & Caston Sigauke. (2023) Simulation Framework to Determine Suitable Innovations for Volatility Persistence Estimation: The GARCH Approach. Journal of Risk and Financial Management 16:9, pages 392.
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Yanlin Shi. (2020) Long memory and regime switching in the stochastic volatility modelling. Annals of Operations Research 320:2, pages 999-1020.
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Oktrevina Oktrevina, Yohannes Kurniawan & Norizan Anwar. (2022) The Effect of Commodity Prices and Exchange Rate on the Stock Return of Agriculture and Animal Feed Companies in Indonesia. International Journal of Social Sciences and Economic Review, pages 1-09.
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O.D. Adubisi, A. Abdulkadir & D.J. Adashu. (2022) Improved Parameter Estimators for the Flexible Extended Skew-t Model with Extensive Simulations, Applications and Volatility modeling. Scientific African, pages e01443.
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O.D. Adubisi, A. Abdulkadir, U.A. Farouk & H. Chiroma. (2022) The exponentiated half logistic skew-t distribution with GARCH-type volatility models. Scientific African 16, pages e01253.
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Tong Liu & Yanlin Shi. (2022) Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market. Mathematics 10:11, pages 1903.
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Nitesha Dwarika, Peter Moores-Pitt & Retius Chifurira. (2021) Volatility dynamics and the risk-return relationship in South Africa: A GARCH approach. Investment Management and Financial Innovations 18:2, pages 106-117.
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Nima Norouzi, Gerardo Z. Zarazua de Rubens, Peter Enevoldsen & Atefeh Behzadi Forough. (2020) The impact of COVID ‐19 on the electricity sector in Spain: An econometric approach based on prices . International Journal of Energy Research 45:4, pages 6320-6332.
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