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Conditional higher order moments in metal asset returns

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  • Steven J. Cochran
  • Iqbal Mansur
  • Babatunde Odusami

Abstract

This study examines the role of higher order moments in the returns of four important metals, aluminium, copper, gold and silver, using the asymmetric GARCH (AGARCH) model with a conditional skewed generalized- t (SGT) distribution. Implications of higher order moments in metal returns are evaluated by comparing the performances of conditional value-at-risk measures obtained from the AGARCH models with SGT distributions to those obtained from the AGARCH models with normal and student- t distributions. With the exception of gold, the AGARCH model with the SGT distribution appears to have the best fit for all metals examined.

Suggested Citation

  • Steven J. Cochran & Iqbal Mansur & Babatunde Odusami, 2016. "Conditional higher order moments in metal asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 151-167, January.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:1:p:151-167
    DOI: 10.1080/14697688.2015.1019357
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