An alternative conditional asymmetry specification for stock returns
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.
Volume (Year): 13 (2003)
Issue (Month): 7 ()
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- Jan G. De Gooijer & Kurt Brännäs, 2004.
"Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
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