“…Due to the mathematical difficulty, the computational complexity, and the fact that the information regarding this distribution is scattered in the literature, the system has not yet attracted attention in the econometric literature since, to keep the ARCH tradition it is important to express the density in terms of the mean and of the variance, in order to acquire a distribution with zero mean and unit variance. According to Pearson (1895) and Nagahara (1999Nagahara ( , 2004Nagahara ( , 2007 the normalization constant is given by:…”