Which parametric model for conditional skewness?

Bruno Feunou, Mohammad Jahan-Parvar and Roméo Tédongap

The European Journal of Finance, 2016, vol. 22, issue 13, 1237-1271

Abstract: This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes.

Date: 2016
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Citations: View citations in EconPapers (20)

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Working Paper: Which Parametric Model for Conditional Skewness? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:22:y:2016:i:13:p:1237-1271

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DOI: 10.1080/1351847X.2013.877515

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