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Advances in Econometrics
Econometric Analysis of Financial and Economic Time Series
Edited by
Dek Terrell
Dek Terrell
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Thomas B. Fomby
Thomas B. Fomby
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Author and Other Information
Emerald Group Publishing Limited
Volume
20 Part 1
DOI:
https://doi.org/10.1016/S0731-9053(2006)20_Part_1
ISBN electronic:
978-1-84950-389-1
ISBN print:
978-0-76231-274-0
Series ISSN:
0731-9053
Publication date:
2006
Book Chapter

A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

By
Dimitris N. Politis
Dimitris N. Politis
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Author and Other Information
Dimitris N. Politis
© Emerald Group Publishing Limited
2006
Doi:
https://doi.org/10.1016/S0731-9053(05)20004-X
  • Published:
    2006
© Emerald Group Publishing Limited
2006

A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical maximum likelihood is also given, and a real data example is worked out.

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