Lanne, Markku; Pentti, Saikkonen - In: The European Journal of Finance 13 (2007) 8, pp. 691-704
In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on … effect in that conditional skewness is dependent on conditional variance. Compared to previously presented GARCH models … positive news is also found to have a smaller impact on conditional variance than no news at all. Moreover, the symmetric GARCH …