The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) type models have become important tools in financial application since their ability to estimate the volatility of time series data. In empirical literature, presence skewness and heavy-tails impacts on how well GARCH-type able capture market sufficiently. This study estimates asset returns based GARCH(1,1) model assuming Ske...

A new class of densities for modelling non-negative data, which is based on the skew-symmetric family distributions proposed by Azzalini introduced.We focus model generated skew-normal distribution, called Extended Half Skew-Normal distribution. Its relevant properties are studied. These pdf, cdf, moments, mgf, and stochastic representation. The parameters estimated moment maximum likelihood me...

Quantifying dependence between extreme values is a central problem in many theoretical and applied studies. The main distinction is between asymptotically independent and asymptotically dependent extremes, with important theoretical examples of these general limiting classes being the extremal behaviour of a bivariate Normal distribution, for asymptotic independence, and of the bivariate t dist...