Conditional distribution symmetry testing

Tomasz Zdanowicz
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Tomasz Zdanowicz: Wydzial Nauk Ekonomicznych i Zarzadzania UMK

Acta Universitatis Nicolai Copernici, Ekonomia, 2009, vol. 40, 239-248

Abstract: The paper concerns the problem of asymmetry in conditional distribution. Some contemporarily used tests can with high likelihood show the presence of asymmetry in the distribution. The test proposed by Bai and Ng has been created in order to test asymmetry in series filtered by models from ARMA-GARCH family. The mentioned test has been used to evaluate conditional asymmetry in return series from the stock exchange in Warsaw. The results confirm the existence of asymmetry in distributions in returns of analyzed shares. This type of asymmetry can be described with the models from GARCH family.

Keywords: nonlinearities; conditional distribution asymmetry (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2009:p:239-248

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