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Garch(1,1) With Sifted Gamma-Distributed Errors, Alan C. Budd
Garch(1,1) With Sifted Gamma-Distributed Errors, Alan C. Budd
Electronic Theses and Dissertations
Typical General Autoregressive Conditional Heteroskedastic (GARCH) processes involve normally-distributed errors, and they model strictly-positive error processes poorly. This thesis will present a method for estimating the parameters of a GARCH(1,1) process with shifted Gamma-distributed errors, conduct a simulation study to test the method, and apply the method to real time series data.