Forecasting the Conditional Skewness and Kurtosis of the Polish Financial Returns

Ryszard Doman ()
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Ryszard Doman: Wrocław University of Economics, Poland

Chapter 8 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 137-151 from University of Lodz

Abstract: Chapter 8 presents evaluation of conditional density forecasts of financial returns, i.e. exchange rate EUR/PLN, stock index MIDWIG, and 6-month WIBOR. The forecasts are derived from GARCH models in which innovations are allowed to have time-varying or even failing to exist skewness and kurtosis. The main finding is that conditional skewness and kurtosis of returns change over time but their dynamics are different.

Keywords: Kurtosis; Forecasting the return rate of shares; GARCH model; Financial markets (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2006:n:02:ch:08:mon

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