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x_t
2013 Apr 07
0
Fitting distributions to financial data using volatility model to estimate VaR
...iskMetrics%2520-%2520Technical%2520Document.pdf&ei=RSJhUd7YJIbktQaQ-YCAAw&usg=AFQjCNGpCXUdLSVHQtYJMl7MccLGQtdkDw&sig2=HBxWDrRTMN7rVqWu-Yp1zQ&bvm=bv.44770516,d.Yms
Especially page 238 is interesting: "According to this model, returns
are generated as follows"
r_t=sigma_t xi_t
sigma^2_t is calculated by EWMA
xi is distributed according to the generalized error distribution. So
they do not assume the returns to follow a certain distribution, but
they assume the returns condition on the volatility to follow a
certain distribution, right?
Now my question is, how can one...