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Heavy-tailed distribution, GARCH models and the silver returns

The International Journal of Latest Trends in Finance and Economic Sciences

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Title Heavy-tailed distribution, GARCH models and the silver returns
 
Creator Maree, Andrew
Card, Peter
Kidman, Paul
 
Subject —
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Description After serving as a medium of exchange for the human society, silver is still widely used in our daily life. From the jewellery, electronic and electrical industries as well as medicine, optics, the power industry, automotive industry and many other industries, silver is still playing a very active role. In addition to the industrial usage, silver also serves as an investment tool for many financial institutions. Thus, it is crucial to develop effective quantitative risk management tool for those financial institutions. In this paper, we investigate the conditional heavy tails of daily silver spot returns under the GARCH framework. Our results indicate that that it is important to introduce heavy-tailed distributions to the GARCH framework and the normal reciprocal inverse Gaussian (NRIG) distribution, a newly-developed distribution, has the best empirical performance in capture the daily silver spot returns dynamics.
 
Publisher International Journal of Latest Trends in Finance and Economic Sciences
 
Contributor —
 
Date 2018-09-11
 
Type —
 
Format application/pdf
 
Identifier http://ojs.excelingtech.co.uk/index.php/IJLTFES/article/view/MCK
10.2047/ijltfesvol7iss2-1351-1355
 
Source International Journal of Latest Trends in Finance and Economic Sciences; Vol 7, No 2 (2017): December; 1351-1355
 
Language en
 
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