On improved volatility modelling by fitting skewness in ARCH models

DOI10.1080/02664763.2019.1671323OpenAlexW2977673849WikidataQ127192024 ScholiaQ127192024MaRDI QIDQ5037037FDOQ5037037

Pavlina Jordanova, Jozef Kiselak, Panagiotis Mantalos, Philipp Hermann, M. Stehlík, A. Karagrigoriou, Luboš Střelec, Juraj Hudák

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1671323

zbMATH Keywords

kurtosisskewnessARCH/GARCH modelNoVaSrobust test for normality

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Nonlinear time series. Nonparametric and parametric methods
• An approximate method for generating asymmetric random variables
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Modeling asset returns with alternative stable distributions^*
• MULTIVARIATE STABLE FUTURES PRICES
• Robust tests based on dual divergence estimators and saddlepoint approximations
• Testing multivariate symmetry
• Stable distributions for asset returns
• Permanents, order statistics, outliers, and robustness
• Stable GARCH models for financial time series
• A new goodness of fit test for the logistic distribution
• Goodness of Fit Statistics for the Exponential Distribution When the Data Are Grouped
• Stationarity of a family of GARCH processes
• Geometric aspects of robust testing for normality and sphericity
• P-Thinned Gamma Process and Corresponding Random Walk
• Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC

Cited In (2)

• Penalized power properties of the normality tests in the presence of outliers
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW

Uses Software

• R

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