An autoregressive model based on the generalized hyperbolic distribution |
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Authors: | Henri Karttunen |
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Institution: | Department of Mathematics and Statistics, University of Helsinki, Finland |
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Abstract: | We define a nonlinear autoregressive time series model based on the generalized hyperbolic distribution in an attempt to model time series with non-Gaussian features such as skewness and heavy tails. We show that the resulting process has a simple condition for stationarity and it is also ergodic. An empirical example with a forecasting experiment is presented to illustrate the features of the proposed model. |
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Keywords: | autoregressive model conditional heteroscedasticity generalized hyperbolic distribution nonlinear time series skewness |
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