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Bambang Susanto
Universitas Kristen Satya Wacana
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Journal : Media Statistika

 1 
SKEW NORMAL AND SKEW STUDENT-T DISTRIBUTIONS ON GARCH(1,1) MODEL Nugroho, Didit Budi; Priyono, Agus; Susanto, Bambang
MEDIA STATISTIKA Vol 14, No 1 (2021): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.14.1.21-32

Abstract

The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) type models have become important tools in financial application since their ability to estimate the volatility of financial time series data. In the empirical financial literature, the presence of skewness and heavy-tails have impacts on how well the GARCH-type models able to capture the financial market volatility sufficiently. This study estimates the volatility of financial asset returns based on the GARCH(1,1) model assuming Skew Normal and Skew Student-t distributions for the returns errors. The models are applied to daily returns of FTSE100 and IBEX35 stock indices from January 2000 to December 2017. The model parameters are estimated by using the Generalized Reduced Gradient Non-Linear method in Excel’s Solver and also the Adaptive Random Walk Metropolis method implemented in Matlab. The estimation results from fitting the models to real data demonstrate that Excel’s Solver is a promising way for estimating the parameters of the GARCH(1,1) models with non-Normal distribution, indicated by the accuracy of the estimation of Excel’s Solver. The fitting performance of models is evaluated by using log-likelihood ratio test and it indicates that the GARCH(1,1) model with Skew Student-t distribution provides the best fitting, followed by Student-t, Skew-Normal, and Normal distributions.
Co-Authors Adi Setiawan Adrianus Herry Heriadi Agus Priyono Alfagustina, Yumita Cristin Alfida Tegar Nurani Algunadi, Muhammad Alicia Anggelia Lumbantoruan Alz Danny Wowor Asido Saragih Awik Hidayati Carolina Febe Ronicha Putri Denny Indrajaya Didit B Nugroho Didit Budi Nugroho Dini Kurniawati Dudi Rudianto Dwi Tristianto Egidius Saut Poltak Situmorang Elsa Septyana Endang Ruswanti Eva Rachmawati Faldy Tita Haay, Happy Alyzhya Hanna Arini Parhusip Hanna Arini Parhusip Herdiyanti, Gita Hersusetiyati, Hersusetiyati Johanes Dian Kurniawan Kezia Natalia Putri Prasetia Khalingga, M Ariq Khalingga, Muhammad Ariq Kholil, Zaini Kurniawan, Johanes Dian Laurentia Nindya Sari Prameswara Lenox Larwuy Leopoldus Ricky Sasongko Lestari, Dina Aulia Lilik Linawati Maria Anita masipupu, Frangky Aristiadi Mince M. M. Rosely Modjo, Marchella Ellena Nugraha, Rian Nanda Nuryani, Dwi Panjaitan, Lam Peter Petrus Priyo Santosa Prasetia, Kezia Natalia Putri PURWANTI PURWANTI Putri, Zefania Sasongko Ratnawati, Aryanti Rebecca Rorimpandey Ricky Agusiady Rima Dwijayanty Rinadi, Geraldus Anggoro Rorimpandey, Rebecca Saepudin Saepudin Saragah R Pratama SARI, EMMA NOVITA Setiawan, Audita Sukadwilinda Suroto, Agung Suryasatriya Trihandaru Susetyo, Yosia Adi Syafi’i, Syafi’i Tanujaya, Lukhia Britanthia Christina Tri Pujadi Susilo Tundjung Mahatma Vania Beatrice Liwandouw Visher Laja Jaja wahyu ngestisari Wulandari, Nadya Putri Yohanes Sardjono Yohanes Sardjono, Yohanes Zaenal Aripin