Abstract
We propose a new distribution, called two-sided Lindley distribution. Some of its statistical properties are derived including the probability and cumulative density functions, moments and quantile function. The proposed distribution is applied to GARCH volatility model. An application on Nikke-225 index is given to demonstrate the performance of GARCH model specified under two-sided Lindley innovation distribution against to normal, Student’s-t, skew-normal and skew-T models based on the forecasting accuracy of value-at-risk. It is concluded that GARCH model with two-sided Lindley innovation distribution provides better fits than other competitive models and produce the most accurate value-at-risk forecasts among others.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of the Indian Society for Probability and Statistics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
