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Which parametric model for conditional skewness?

Listed author(s):
  • Bruno Feunou
  • Mohammad R. Jahan-Parvar
  • Roméo Tédongap
Registered author(s):

    This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes.

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    File URL: http://hdl.handle.net/10.1080/1351847X.2013.877515
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    Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

    Volume (Year): 22 (2016)
    Issue (Month): 13 (October)
    Pages: 1237-1271

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    Handle: RePEc:taf:eurjfi:v:22:y:2016:i:13:p:1237-1271
    DOI: 10.1080/1351847X.2013.877515
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