Autorregresive conditional volatility, skewness and kurtosis
Data(s) |
06/02/2012
06/02/2012
2002
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Resumo |
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments. |
Identificador |
1988-088X http://hdl.handle.net/10810/6759 RePEc:ehu:dfaeii:200206 |
Idioma(s) |
eng |
Publicador |
University of the Basque Country, Department of Foundations of Economic Analysis II |
Relação |
DFAEII 2002.06 |
Direitos |
info:eu-repo/semantics/openAccess |
Palavras-Chave | #conditional volatility #skewness and kurtosis #Gram-Charlier series expansion #stock indices |
Tipo |
info:eu-repo/semantics/workingPaper |