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Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models

  • Doaa Akl Ahmed


    (University of Leicester, University Road, Leicester, LE1 7RH, United Kingdom, and University of Benha, Egypt.)

The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant.

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Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXX (2011)
Issue (Month): 2 (November)
Pages: 1-28

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Handle: RePEc:ere:journl:v:xxx:y:2011:i:2:p:1-28
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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Michael F. Bryan & Stephen G. Cecchetti, 1999. "Inflation And The Distribution Of Price Changes," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 188-196, May.
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