Working Paper

An Alternative Conditional Asymmetry Specification for Stock Returns

Kurt Brännäs, Niklas Nordman
CESifo, Munich, 2001

CESifo Working Paper No. 448

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