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A new Pearson type QMLE for conditionally heteroskedastic models

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Figure

Fig. 1. The plot of four different densities f(x; 0, 1, ν, m) for the Pearson’s Type IV distribution (the solid star line isthe density of N(0,1) distribution).
Fig. 2. (top panel) the 3-D plot of the skewness of εt, where εt ∼ PIV(0, 1, ν, m) with ν ∈ [−0.2, 0.2] and m ∈ (2, 8); (bottom panel) the 3-D plot ofthe kurtosis of εt, where εt ∼ PIV(0, 1, ν, m) with ν ∈ [−0.2, 0.2] and m ∈ (5/2, 8).
Fig. 3. One realization {yt}1000t=1 from model (4), when εt ∼ PIV(0, 1, ν, m).
Fig. 4. One realization {yt}1000t=1 from model (4), when εt ∼ PIV(0, 1, ν, m).
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