Standardized exponentiated Gumbel error innovation distribution in modelling volatility models

Abstract

Here we proposed three classes of volatility models using Standardized Exponentiated Gumbel Error Innovation Distribution (SEGEID). Important statistical and mathematical properties of this models have been discussed and derived. Hence, the parameters of the volatility models are discussed using the general log likelihood function of the SEGEID. Finally, the volatility models were obtained through partial derivative by adopting a method of numerical method BFGS.