A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

Abstract

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.

Citation

Politis, D.N. (2006), "A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals", Terrell, D. and Fomby, T.B. (Ed.) Econometric Analysis of Financial and Economic Time Series (Advances in Econometrics, Vol. 20 Part 1), Emerald Group Publishing Limited, Leeds, pp. 105-124. https://doi.org/10.1016/S0731-9053(05)20004-X