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Curto, J., Pinto, J. C. & Tavares, G. N. (2009). Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions. Statistical Papers. 50 (2), 311-321

J. J. Curto et al.,  "Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions", in Statistical Papers, vol. 50, no. 2, pp. 311-321, 2009

@article{curto2009_1715211760466,
	author = "Curto, J. and Pinto, J. C. and Tavares, G. N.",
	title = "Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions",
	journal = "Statistical Papers",
	year = "2009",
	volume = "50",
	number = "2",
	doi = "10.1007/s00362-007-0080-5",
	pages = "311-321",
	url = "https://link.springer.com/article/10.1007%2Fs00362-007-0080-5"
}

TY  - JOUR
TI  - Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
T2  - Statistical Papers
VL  - 50
IS  - 2
AU  - Curto, J.
AU  - Pinto, J. C.
AU  - Tavares, G. N.
PY  - 2009
SP  - 311-321
SN  - 0932-5026
DO  - 10.1007/s00362-007-0080-5
UR  - https://link.springer.com/article/10.1007%2Fs00362-007-0080-5
AB  - As GARCH models and stable Paretian distributions have been revisited in the recent past with the papers of Hansen and Lunde (J Appl Econom 20: 873–889, 2005) and Bidarkota and McCulloch (Quant Finance 4: 256–265, 2004), respectively, in this paper we discuss alternative conditional distributional models for the daily returns of the US, German and Portuguese main stock market indexes, considering ARMA-GARCH models driven by Normal, Student’s t and stable Paretian distributed innovations. We find that a GARCH model with stable Paretian innovations fits returns clearly better than the more popular Normal distribution and slightly better than the Student’s t distribution. However, the Student’s t outperforms the Normal and stable Paretian distributions when the out-of-sample density forecasts are considered.
ER  -