An alternative conditional asymmetry specification for stock returns

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 al...

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Bibliographic Details
Published in:Applied financial economics 2003-07, Vol.13 (7), p.537-541
Main Authors: Brännäs, Kurt, Nordman, Niklas
Format: Article
Language:English
Subjects:
Asymmetry
Business and economics
Econometrics
Economic models
Economic theory
Economics
Ekonometri
Ekonomi
Equilibrium
Finance
Mathematical models
Nationalekonomi
Rates of return
SAMHÄLLSVETENSKAP
SOCIAL SCIENCES
Stock exchange
Stock returns
Studies
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Summary: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.
ISSN:0960-3107
1466-4305
1466-4305
DOI:10.1080/0960310022000020889