TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES

Panagiotis Mantalos and Alex Karagrigoriou
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Alex Karagrigoriou: Department of Mathematics and Statistics, University of Cyprus

No 2012:4, Working Papers from Örebro University, School of Business

Abstract: In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to explore the applicability and the capabilities of the proposed testing procedure.

Keywords: ARCH /GARCH model; kurtosis; NoVaS; skewness. JEL Classification Codes: C01; C12; C15 (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2012-03-21
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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