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On improved volatil...
On improved volatility modelling by fitting skewness in ARCH models
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- Mantalos, Panagiotis, 1956- (författare)
- Linnéuniversitetet,Institutionen för nationalekonomi och statistik (NS)
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- Karagrigoriou, A. (författare)
- Univ Aegean, Greece
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- Strelec, L. (författare)
- Mendel Univ Brno, Czech Republic
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- Jordanova, P. (författare)
- Shumen Univ, Bulgaria
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- Hermann, P. (författare)
- Johannes Kepler Univ Linz, Austria
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- Kiselak, J. (författare)
- Johannes Kepler Univ Linz, Austria;PJ Safarik Univ Kosice, Slovakia
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- Hudak, J. (författare)
- PJ Safarik Univ Kosice, Slovakia
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- Stehlik, M. (författare)
- Johannes Kepler Univ Linz, Austria;Univ Valparaiso, Chile;Univ Iowa, USA
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(creator_code:org_t)
- 2019-09-30
- 2020
- Engelska.
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Ingår i: Journal of Applied Statistics. - : Taylor & Francis Group. - 0266-4763 .- 1360-0532. ; 7:6, s. 1031-1063
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We study ARCH/GARCH effects under possible deviation from normality. Since skewness is the principal cause for deviations from normality in many practical applications, e.g. finance, we study in particular skewness. We propose robust tests for normality both for NoVaS and modified NoVaS transformed and original data. Such an approach is not applicable for EGARCH, but applicable for GARCH-GJR models. A novel test procedure is proposed for the skewness in autoregressive conditional volatility models. The power of the tests is investigated with various underlying models. Applications with financial data show the applicability and the capabilities of the proposed testing procedure.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Robust test for normality
- ARCH
- GARCH model
- NoVaS
- skewness
- kurtosis
- Economy
- Ekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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