Working Paper
An Alternative Conditional Asymmetry Specification for Stock Returns
Kurt Brännäs, Niklas Nordman
CESifo, Munich, 2001
CESifo Working Paper No. 448
CESifo, Munich, 2001
CESifo Working Paper No. 448
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.
Keywords: Time series, finance, nonlinearity, skewness, gamma, estimation, NYSE