An Alternative Conditional Asymmetry Specification for Stock Returns

Kurt Brännäs () and Niklas Nordman ()
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Niklas Nordman: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 556, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: 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.

Keywords: Time series; finance; nonlinearity; skewness; gamma; estimation; NYSE (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 C53 G14 (search for similar items in EconPapers)
Date: 2001-04-23
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Published in Applied Financial Economics , 2003, pages 537-541.

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Working Paper: An Alternative Conditional Asymmetry Specification for Stock Returns (2001)
Journal Article: An alternative conditional asymmetry specification for stock returns (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0556

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