English, Article, Journal or magazine article edition: Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. Jondeau, E.; Rockinger, M.

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Bookmark: http://trove.nla.gov.au/version/147999
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.
Author
  • Jondeau, E.
  • Rockinger, M.
Physical Description
  • preprint
Notes
  • 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.
  • GARCH Stock indices Exchange rates Interest rates SNOPT VaR
  • RePEc:bfr:banfra:77
Language
  • English
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