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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...
13 years 前 | 0 个回答 | 0
