A new procedure for pre-testing the distribution properties of Stock returns

Afees Salisu and Ibrahim Raheem

No 57, Working Papers from Centre for Econometric and Allied Research, University of Ibadan

Abstract: The study offers a new procedure that helps determine the best distribution prior to modeling stock returns with GARCH-type models. Specifically, it demonstrates that pre-testing the residuals of stock returns for the best distribution can help to identify the appropriate GARCH error distribution regardless of the choice of GARCH-type model. This approach is robust to alternative data frequencies and different stock markets such as those of G7 countries

Keywords: Stock returns; GARCH-type models; Error distributions (search for similar items in EconPapers)
JEL-codes: C52 C53 G11 G14 G17 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2018-06
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
http://cear.org.ng/index.php?option=com_docman&tas ... ad&gid=100&Itemid=29 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://cear.org.ng/index.php?option=com_docman&task=doc_download&gid=100&Itemid=29 [301 Moved Permanently]--> https://cear.org.ng/index.php?option=com_docman&task=doc_download&gid=100&Itemid=29)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cui:wpaper:0057

Access Statistics for this paper

More papers in Working Papers from Centre for Econometric and Allied Research, University of Ibadan Contact information at EDIRC.
Bibliographic data for series maintained by Adeoye Omosebi ( this e-mail address is bad, please contact ).