Scandinavian Working Papers in Business Administration

Working Papers,
Örebro University, School of Business

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

Panagiotis Mantalos () and Alex Karagrigoriou
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Panagiotis Mantalos: Department of Business, Economics, Statistics and Informatics, Postal: Örebro University, Swedish Business School, SE - 701 82 ÖREBRO, Sweden
Alex Karagrigoriou: Department of Mathematics and Statistics, University of Cyprus

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

JEL-codes: C01; C12; C15

27 pages, March 21, 2012

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