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:	2001-04-23
Authors:	Brännäs, Kurt ; Nordman, Niklas
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Time series \| finance \| nonlinearity \| skewness \| gamma \| estimation \| NYSE

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Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	Published in Applied Financial Economics , 2003, pages 537-541. The text is part of a series Umeå Economic Studies Number 556 9 pages
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005651999