Tempered stable and tempered infinitely divisible GARCH models

@inproceedings{Kim2009TemperedSA,
  title={Tempered stable and tempered infinitely divisible GARCH models},
  author={Young Shin Kim},
  year={2009}
}
In this paper, we introduce a new GARCH model with an infinitely d ivisible distributed innovation, referred to as the rapidly decr easing tempered stable (RDTS) GARCH model. This model allows the description of some stylize d empirical facts observed for stock and index returns, such as volatility clust ering, the non-zero skewness and excess kurtosis for the residual distribution. Further more, we review the classical tempered stable (CTS) GARCH model, which has similar statis tical… CONTINUE READING
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