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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.
Year of publication:
2012-03-21
Authors: Mantalos, Panagiotis ; Karagrigoriou, Alex
Institutions: Handelshögskolan, Örebro Universitet
Subject: ARCH /GARCH model | kurtosis | NoVaS | skewness
Extent:
application/pdf
Series:
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:
Persistent link: https://www.econbiz.de/10010818623
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