Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 556: An Alternative Conditional Asymmetry Specification for Stock Returns

Kurt Brännäs () and Niklas Nordman ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Niklas Nordman: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: 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.

Keywords: Time series; finance; nonlinearity; skewness; gamma; estimation; NYSE

JEL-codes: C22; C51; C52; C53; G14

9 pages, April 23, 2001

Download statistics

Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:13:51.