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School of Business, Örebro University Working Papers, School of Business, Örebro University

No 2012:4:
TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES

Panagiotis Mantalos () 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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