Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models

Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models

We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). We show that these expressions are readily programmable in addition of greatly reducing the computational cost. W...

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Veröffentlicht in:Finance research letters 2016-08, Vol.18, p.311-316
Hauptverfasser: Trottier, Denis-Alexandre, Ardia, David
Format: Artikel
Sprache:eng
Schlagworte:
Asymmetric GARCH
Backtesting
Bayesian
Cost reduction
Maximum likelihood
Probability distribution
Skewness
Stochastic models
Studies
Volatility
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Zusammenfassung:We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). We show that these expressions are readily programmable in addition of greatly reducing the computational cost. We discuss several applications that are relevant for the purpose of estimating asymmetric conditional volatility models under skewed distributions.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2016.05.006