Conditional Skewness Modelling for Stock Returns
The paper studies two approaches to modelling conditional skewness in a nonlinear model for stock returns. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and in particular a Pearson IV specification with three constant parameters are better supported by data. While the log-generalized gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV model suggests that excess kurtosis rather than skewness should be accounted for.
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|Date of creation:||01 Jun 2001|
|Date of revision:|
|Publication status:||Published in Applied Economics Letters , 2003, pages 725-728.|
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- Kurt Brannas & Niklas Nordman, 2003.
"An alternative conditional asymmetry specification for stock returns,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 13(7), pages 537-541.
- Brännäs, Kurt & Nordman, Niklas, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," Umeå Economic Studies 556, Umeå University, Department of Economics.
- Kurt Brännäs & Niklas Nordman, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series 448, CESifo Group Munich.
- 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.
- 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.
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- 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.
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"Autoregressive Conditional Density Estimation,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August.
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- Tom Doan, . "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
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