Conditional higher order moments in metal asset returns

Steven J. Cochran, Iqbal Mansur and Babatunde Odusami

Quantitative Finance, 2016, vol. 16, issue 1, 151-167

Abstract: This study examines the role of higher order moments in the returns of four important metals, aluminium, copper, gold and silver, using the asymmetric GARCH (AGARCH) model with a conditional skewed generalized- t (SGT) distribution. Implications of higher order moments in metal returns are evaluated by comparing the performances of conditional value-at-risk measures obtained from the AGARCH models with SGT distributions to those obtained from the AGARCH models with normal and student- t distributions. With the exception of gold, the AGARCH model with the SGT distribution appears to have the best fit for all metals examined.

Date: 2016
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DOI: 10.1080/14697688.2015.1019357

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