Illustrates the family members of the GARCH

Illustrates the family members of the GARCH?

E

Expert

Verified

Here are several of the other members of the GARCH family. New ones are being added always, they are breeding as rabbits. In these models the ‘shocks’ can classically either have a normal distribution, a Generalized Error distribution or a Student’s t-distribution, the latter two having the fatter tails.

These are as follows:

• NGARCH
• AGARCH
• EGARCH
• REGARCH
• IGARCH
• FIGARCH
• FIEGARCH
• TGARCH
• PGARCH
• CGARCH

   Related Questions in Financial Management

2015 ©TutorsGlobe All rights reserved. TutorsGlobe Rated 4.8/5 based on 34139 reviews.