The results show that EGARCH is the best model for forecasting long-term volatility. Furthermore, using EGARCH with the Student t-distribution gives better results than with a normal distribution.

The included file, Distribution.php, contains methods that generate sampling-distribution statistics for several commonly used sampling distributions (Student t, Fisher f, Chi Square).

The calculating method given in this paper USES only the second order distribution of the random process, not involving the simultaneous distribution of X (t) and X (t).