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...
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|
|Deposited On:||02 Nov 2012 16:49|
|Last Modified:||02 Nov 2012 16:50|
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