#TITLE_ALTERNATIVE#
Most volatility models are generated based on the Normality assumption of their returns. This assumption is empirically inappropriate since asset returns have high kurtosis. In other words, returns data follow heavy-tailed distribution. In this project, Student-t and Burr Type II distributions are e...
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| Main Author: | |
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/11596 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |