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Looking for skewness in financial time series

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Author Info

  • Matteo Grigoletto
  • Francesco Lisi

Abstract

In this paper, we study marginal and conditional skewness in financial returns for nine time series of major international stock indices. For this purpose, we develop a new variant of the GARCH model with dynamic skewness and kurtosis. Our empirical results indicate that there is no evidence of marginal asymmetry in the nine time series under consideration. We do however find significant time-varying conditional skewness. The economic significance of conditional skewness is analysed in terms of Value-at-Risk measures and Market Risk Capital Requirements set by the Basel Accord. Copyright � 2009 The Author(s). Journal compilation � Royal Economic Society 2009

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): 2 (07)
Pages: 310-323

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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:2:p:310-323

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Cited by:
  1. Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Finance Working Papers 23399, East Asian Bureau of Economic Research.
  2. Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
  3. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013. "Which Parametric Model for Conditional Skewness?," Working Papers 13-32, Bank of Canada.
  4. So, Mike K.P. & Chan, Raymond K.S., 2014. "Bayesian analysis of tail asymmetry based on a threshold extreme value model," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 568-587.
  5. Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods and Applications, Springer, vol. 20(4), pages 487-506, November.

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