Working Papers, School of Business, Örebro University
TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES
() and Alex Karagrigoriou
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; (follow links to similar papers)
JEL-Codes: C01; C12; C15; (follow links to similar papers)
27 pages, March 21, 2012
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