کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9731461 | 1480484 | 2005 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Autoregresive conditional volatility, skewness and kurtosis
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier (GC) 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, C. R. & Siddique, A. (1999). Autorregresive Conditional Skewness. Journal of Financial and Quantitative Analysis 34, 465-487). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique [Harvey, C. R. & Siddique, A. (1999). Autorregresive Conditional Skewness. Journal of Financial and Quantitative Analysis 34, 465-487] only accounts for non-normal 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4â5, September 2005, Pages 599-618
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4â5, September 2005, Pages 599-618
نویسندگان
Ángel León, Gonzalo Rubio, Gregorio Serna,