Stock returns heavily tailed, risk measure computation crucial for investors.
The study looked at how parameters in a model for stock returns change over time. They used a method called Generalized Autoregressive Score Model. The results showed that the parameters tend to stay the same over time, with stock returns having heavy tails. The model they used was suitable for predicting stock prices. Future research should focus on creating a more detailed model to better understand the risk associated with stock returns.