偏斜
计量经济学
库存(枪支)
经济
金融经济学
条件方差
ARCH模型
业务
波动性(金融)
地理
考古
作者
Markku Lanne,Saikkonen Pentti
标识
DOI:10.1080/13518470701538608
摘要
Abstract In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling skewness and kurtosis of the size typically encountered in stock return series. The need to allow for skewness can also be readily tested. The model is consistent with the volatility feedback effect in that conditional skewness is dependent on conditional variance. Compared to previously presented GARCH models allowing for conditional skewness, the model is analytically tractable, parsimonious and facilitates straightforward interpretation.Our empirical results indicate the presence of conditional skewness in the monthly postwar US stock returns. Small positive news is also found to have a smaller impact on conditional variance than no news at all. Moreover, the symmetric GARCH-M model not allowing for conditional skewness is found to systematically overpredict conditional variance and average excess returns. Keywords: GARCHconditional skewnessasset pricing Acknowledgements We thank the editor and two anonymous referees for useful comments. We are grateful to the Research Unit on Economic Structures and Growth (RUESG) in the University of Helsinki and the Yrjö Jahnsson Foundation for financial support. Part of this research was done while the first author was a Jean Monnet Fellow at the Economics Department of the European University Institute, whose hospitality is acknowledged. Notes 1. Out of the 158 observations in the middle range, for 152 the conditional variance predicted by the GARCH-t model is greater than the realized variance and for 93 of these greater than the conditional variance predicted by the GARCH-z model. In the low-variance range the GARCH-t model always predicts too high conditional variance and for 87 observations the prediction exceeds that of the GARCH-z specification. In the high-volatility range the corresponding figures are 69 and 78, indicating no systematic pattern.
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