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Hello, I'm trying to compute a NIG-GARCH model, but I don't figure out how to do it. How can I change the distribution of the garch model (that is normal) into a normal inverse gaussian distribution! THX!!!
NIG- is a particular case of the hyperbolic distribution with lambda=-1/2. Since the returns of a portofolio are not normal dis...
거의 13년 전 | 답변 수: 0 | 0
