TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to explore the applicability and the capabilities of the proposed testing procedure.

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Year of publication:	2012-03-21
Authors:	Mantalos, Panagiotis ; Karagrigoriou, Alex
Institutions:	Handelshögskolan, Örebro Universitet
Subject:	ARCH /GARCH model \| kurtosis \| NoVaS \| skewness

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers Number 2012:4 27 pages
Classification:	C01 - Econometrics ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010818623