Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

Eric Jondeau and Michael Rockinger ()

Working papers from Banque de France

Abstract: Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional generalized-t distribution for residuals. We compute the skewness and kurtosis for this model and compare the range of these moments with the maximal theoretical moments. Our model thus allows for time-varying conditional skewness and kurtosis.

Keywords: GARCH; Stock; indices; Exchange; rates; Interest; rates; SNOPT; VaR (search for similar items in EconPapers)
JEL-codes: C22 C51 G12 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence (2000)
Working Paper: Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:77

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