Unconditional and Conditional Distributional Models for the Nikkei Index

Stefan Mittnik, Marc Paolella and Svetlozar Rachev

Asia-Pacific Financial Markets, 1998, vol. 5, issue 2, pages 99-128

Abstract: We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the observed serial dependence, conditional heteroskedasticity and fat-tailedness present in the return data. Of the eight entertained distributions, the partially asymmetric Weibull, Student's t and asymmetric α-stable present themselses as the most viable candidates in terms of overall fit. However, the tails of the sample distribution are approximated best by the asymmetric α-stable distribution. Good tail approximations are particularly important for risk assessments. Copyright Kluwer Academic Publishers 1998

Keywords: GARCH; persistence; skewness; stable Paretian distribution; volatility (search for similar items in EconPapers)
Date: 1998
View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/10.1023/A:1010016831481 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Asia-Pacific Financial Markets is edited by Ryozo Miura

More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Christopher F. Baum ().