Illustrates the family members of the GARCH
Illustrates the family members of the GARCH?
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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
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