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Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

  • Jondeau, E.
  • Rockinger, M.

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional generalized-t distribution for residuals. We compute the skewness and kurtosis for this model and compare the range of these moments with the maximal theoretical moments. Our model thus allows for time-varying conditional skewness and kurtosis.

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Paper provided by Banque de France in its series Working papers with number 77.

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Length: 49 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bfr:banfra:77
Contact details of provider: Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/

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