A Student t-mixture autoregressive model with applications to heavy-tailed financial data
Student t 混合自回归模型及其在厚尾金融数据中的应用
We introduce the class of Student t-mixture autoregressive models, which is promising for financial time series modelling. The model is able to capture serial correlations, time-varying means and volatilities, and the shape of the conditional distributions can be time varied from short-tailed to long-tailed, or from unimodal to multimodal. The use of t-distributed errors in each component of the model allows conditional leptokurtic distributions that account for the commonly…