文章基本信息

标题：SKEW NORMAL AND SKEW STUDENT-T DISTRIBUTIONS ON GARCH(1,1) MODEL
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作者：Didit Budi Nugroho ; Agus Priyono ; Bambang Susanto 等
期刊名称：MEDIA STATISTIKA
印刷版ISSN：1979-3693
电子版ISSN：2477-0647
出版年度：2021
卷号：14
期号：1
页码：21-32
DOI：10.14710/medstat.14.1.21-32
语种：English
出版社：MEDIA STATISTIKA
摘要：The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) type models have become important tools in financial application since their ability to estimate the volatility of financial time series data. In the empirical financial literature, the presence of skewness and heavy-tails have impacts on how well the GARCH-type models able to capture the financial market volatility sufficiently. This study estimates the volatility of financial asset returns based on the GARCH(1,1) model assuming Skew Normal and Skew Student-t distributions for the returns errors. The models are applied to daily returns of FTSE100 and IBEX35 stock indices from January 2000 to December 2017. The model parameters are estimated by using the Generalized Reduced Gradient Non-Linear method in Excel’s Solver and also the Adaptive Random Walk Metropolis method implemented in Matlab. The estimation results from fitting the models to real data demonstrate that Excel’s Solver is a promising way for estimating the parameters of the GARCH(1,1) models with non-Normal distribution, indicated by the accuracy of the estimation of Excel’s Solver. The fitting performance of models is evaluated by using log-likelihood ratio test and it indicates that the GARCH(1,1) model with Skew Student-t distribution provides the best fitting, followed by Student-t, Skew-Normal, and Normal distributions.