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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Year of publication:	2001
Authors:	Brännäs, Kurt ; Nordman, Niklas
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Time series \| finance \| nonlinearity \| skewness \| gamma \| estimation \| NYSE

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Series:	CESifo Working Paper ; 448
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	842395679 [GVK] hdl:10419/75827 [Handle] RePec:ces:ceswps:_448 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010315189