An alternative conditional asymmetry specification for stock returns

Kurt Brännäs () and Niklas Nordman

Applied Financial Economics, 2003, vol. 13, issue 7, 537-541

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.

Date: 2003
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Working Paper: An Alternative Conditional Asymmetry Specification for Stock Returns (2001)
Working Paper: An Alternative Conditional Asymmetry Specification for Stock Returns (2001)
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DOI: 10.1080/0960310022000020889

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