Hello, I'm trying to compute a NIG-GARCH model, but I don't figure out how to do it. How can I change the distribution of the garch model (that is normal) into a normal inverse gaussian distribution! THX!!!

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Alexandra R
Alexandra R on 31 Mar 2013
NIG- is a particular case of the hyperbolic distribution with lambda=-1/2. Since the returns of a portofolio are not normal distributed I would to do a garch model with nig since it provides a better evidence for the fat tails.
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