Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions

86 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The coefficient of variation asymptotic distribution in the case of non-iid random variables (2009, background): “Next, as the iid condition is extremely restrictive and empirically implausible in financial data (see, for example, 8 ), a more general distribution is derived under the non-iid assumption.”