On improved volatility modelling by fitting skewness in ARCH models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F20%3A43916392" target="_blank" >RIV/62156489:43110/20:43916392 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1080/02664763.2019.1671323" target="_blank" >https://doi.org/10.1080/02664763.2019.1671323</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/02664763.2019.1671323" target="_blank" >10.1080/02664763.2019.1671323</a>

Result language
angličtina
Original language name
On improved volatility modelling by fitting skewness in ARCH models
Original language description
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.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GA16-07089S" target="_blank" >GA16-07089S: Robust approach to testing for normality of error terms in econometric models</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)