Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates »
Series: IMF Working Papers
Author(s): Jenny Lye
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 1998
Keywords: ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates, exchange rate, skewness, normal distribution, statistics
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptoku...