A flexible parametric GARCH model with an application to exchange rates
提出一种基于指数广义贝塔分布的灵活参数GARCH模型，应用于六种主要货币的美元汇率数据，发现该模型比传统GARCH-t和EGARCH-t模型能更好拟合汇率变化的尖峰、厚尾和偏斜特征。
Abstract Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one‐sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher‐order moments and goodness‐of‐fit tests favours the GARCH‐EGB2 model over more conventional GARCH‐ t and EGARCH‐ t model alternatives, particularly for exchange rate data characterized by skewness. Copyright © 2001 John Wiley & Sons, Ltd.