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 ()
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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

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Published as
Kurt Brännäs and Niklas Nordman, (2003), 'An Alternative Conditional Asymmetry Specification for Stock Returns', Applied Financial Economics, vol 13, pages 537-541

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