Advanced Search
MyIDEAS: Login

Unconditional and Conditional Distributional Models for the Nikkei Index

Contents:

Author Info

  • Stefan Mittnik
  • Marc Paolella
  • Svetlozar Rachev

Abstract

We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the observed serial dependence, conditional heteroskedasticity and fat-tailedness present in the return data. Of the eight entertained distributions, the partially asymmetric Weibull, Student's t and asymmetric α-stable present themselses as the most viable candidates in terms of overall fit. However, the tails of the sample distribution are approximated best by the asymmetric α-stable distribution. Good tail approximations are particularly important for risk assessments. Copyright Kluwer Academic Publishers 1998

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1023/A:1010016831481
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 5 (1998)
Issue (Month): 2 (May)
Pages: 99-128

as in new window
Handle: RePEc:kap:apfinm:v:5:y:1998:i:2:p:99-128

Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851

Related research

Keywords: GARCH; persistence; skewness; stable Paretian distribution; volatility;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
  2. Liu, Shi-Miin & Brorsen, B Wade, 1995. "Maximum Likelihood Estimation of a Garch-Stable Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 273-85, July-Sept.
  3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  5. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  6. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
  7. Butler, Richard J, et al, 1990. "Robust and Partially Adaptive Estimation of Regression Models," The Review of Economics and Statistics, MIT Press, vol. 72(2), pages 321-27, May.
  8. Deb, Partha & Sefton, Martin, 1996. "The distribution of a Lagrange multiplier test of normality," Economics Letters, Elsevier, vol. 51(2), pages 123-130, May.
  9. Bera, Anil K & Higgins, Matthew L & Lee, Sangkyu, 1992. "Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 133-42, April.
  10. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
  11. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
  12. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  13. Francis X. Diebold & Til Schuermann, 1993. "Exact maximum likelihood estimation of ARCH models," Working Papers 93-4, Federal Reserve Bank of Philadelphia.
  14. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
  2. Fischer, Matthias J. & Vaughan, David, 2002. "Classes of skew generalized hyperbolic secant distributions," Discussion Papers 45/2002, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  3. Gel, Yulia R., 2010. "Test of fit for a Laplace distribution against heavier tailed alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 958-965, April.
  4. José Curto & José Pinto & Gonçalo Tavares, 2009. "Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions," Statistical Papers, Springer, vol. 50(2), pages 311-321, March.
  5. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
  6. Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008. "The Volatility of Realized Volatility," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 46-78.
  7. José Dias Curto & João Tomaz & José Castro Pinto, 2009. "A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)," Portuguese Economic Journal, Springer, vol. 8(1), pages 23-36, April.
  8. Markus Haas & Stefan Mittnik & Marc Paolella, 2006. "Modelling and predicting market risk with Laplace-Gaussian mixture distributions," Applied Financial Economics, Taylor and Francis Journals, vol. 16(15), pages 1145-1162.
  9. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
  10. Fischer, Matthias J., 2002. "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers 46/2002, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  11. Fischer, Matthias J., 2000. "The folded EGB2 distribution and its application to financial return data," Discussion Papers 32/2000, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  12. Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 195-202.
  13. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
  14. Lee, Tae-Hwy & Saltoglu, Burak, 2002. "Assessing the risk forecasts for Japanese stock market," Japan and the World Economy, Elsevier, vol. 14(1), pages 63-85, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:5:y:1998:i:2:p:99-128

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.