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Forecasting the unconditional and conditional kurtosis of the asset returns distribution

Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2010) Forecasting the unconditional and conditional kurtosis of the asset returns distribution. In: 30th International Symposium on Forecasting, June 20-23 2010, San Diego, CA, USA.

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Official URL: http://forecasters.org/submissions10/NiguezTrinoIS...

Abstract

This paper analyzes the out-of-sample ability of di¤erent parametric and semi- parametric GARCH-type models to forecast the conditional variance and the condi- tional and unconditional kurtosis of three types of financial assets (stock index, ex- change rate and Treasury Note). For this purpose, we consider the Gaussian and Student-t GARCH models by Bollerslev (1986, 1987), and two di¤erent time-varying conditional kurtosis GARCH models based on the Student-t and a transformed Gram-Charlier density.

Item Type:Conference or Workshop Item (Paper)
Research Community:University of Westminster > Westminster Business School
ID Code:11472
Deposited On:02 Nov 2012 16:49
Last Modified:02 Nov 2012 16:50

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