Market volatility and skewness persistence

Jati Sengupta and Raymond Sfeir

Applied Economics Letters, 1994, vol. 1, issue 12, 215-218

Abstract: Skewness persistence and its impact on market volatility are examined here empirically over recent NYSE stock market data. The empirical results do not show any skewness persistence, although the skewness factor affects market volatility to a significant degree. This suggests the need to modify the volatility tests based on ARCH models.

Date: 1994
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DOI: 10.1080/135048594357763

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