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Conditional distribution symmetry testing

Author

Listed:
  • Tomasz Zdanowicz

    (Wydzial Nauk Ekonomicznych i Zarzadzania UMK)

Abstract

The paper concerns the problem of asymmetry in conditional distribution. Some contemporarily used tests can with high likelihood show the presence of asymmetry in the distribution. The test proposed by Bai and Ng has been created in order to test asymmetry in series filtered by models from ARMA-GARCH family. The mentioned test has been used to evaluate conditional asymmetry in return series from the stock exchange in Warsaw. The results confirm the existence of asymmetry in distributions in returns of analyzed shares. This type of asymmetry can be described with the models from GARCH family.

Suggested Citation

  • Tomasz Zdanowicz, 2009. "Conditional distribution symmetry testing," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 40, pages 239-248.
    • Handle: RePEc:cpn:umkanc:2009:p:239-248
    as

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