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.
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|Date of creation:||23 Apr 2001|
|Date of revision:|
|Publication status:||Published in Applied Financial Economics , 2003, pages 537-541.|
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- Brunner, Allan D, 1992.
"Conditional Asymmetries in Real GNP: A Seminonparametric Approach,"
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- Allan D. Brunner, 1990. "Conditional asymmetries in real GNP: a semi-nonparametric approach," Finance and Economics Discussion Series 140, Board of Governors of the Federal Reserve System (U.S.).
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
- Brännäs, Kurt & de Gooijer, Jan G., 2000.
"ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH,"
Umeå Economic Studies
535, Umeå University, Department of Economics.
- 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.
- Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute.
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001.
"Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices,"
Journal of Financial Economics,
Elsevier, vol. 61(3), pages 345-381, September.
- Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc.
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