English, Article, Journal or magazine article edition: Autorregresive conditional volatility, skewness and kurtosis. Angel León; Gonzalo Rubio; Gregorio Serna

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Bookmark: http://trove.nla.gov.au/version/183236
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Autorregresive conditional volatility, skewness and kurtosis.
Author
  • Angel León
  • Gonzalo Rubio
  • Gregorio Serna
Physical Description
  • preprint
Notes
  • This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.
  • Conditional volatility, skewness and kurtosis, Gram-Charlier series expansion
  • RePEc:ehu:dfaeii:200206
Language
  • English
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