- Article
Modelling and Forecasting Financial Volatility with Realized GARCH Model: A Comparative Study of Skew-t Distributions Using GRG and MCMC Methods
- Didit Budi Nugroho,
- Adi Setiawan and
- Takayuki Morimoto
Financial time-series data often exhibit statistically significant skewness and heavy tails, and numerous flexible distributions have been proposed to model them. In the context of the Log-linear Realized GARCH model with Skew-t (ST) distributions, o...