Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

40 Pages Posted: 20 Nov 2008

See all articles by Halbert L. White, Jr.

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Tae-Hwan Kim

University of Nottingham - School of Economics; Yonsei University - Seoul Campus - College of Business and Economics

Simone Manganelli

European Central Bank (ECB)

Date Written: November 12, 2008

Abstract

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to permit joint modeling of multiple quantiles, Multi-Quantile (MQ) CAViaR. We apply our new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily returns.

Keywords: Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness

JEL Classification: C13, C32

Suggested Citation

White, Halbert L. and Kim, Tae-Hwan and Manganelli, Simone, Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR (November 12, 2008). ECB Working Paper No. 957, Available at SSRN: https://ssrn.com/abstract=1291165 or http://dx.doi.org/10.2139/ssrn.1291165

Halbert L. White

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

Tae-Hwan Kim

University of Nottingham - School of Economics ( email )

University Park
Nottingham, NG7 2RD
United Kingdom
+44 115 951 5620 (Phone)
+44 115 951 4159 (Fax)

Yonsei University - Seoul Campus - College of Business and Economics ( email )

Yonsei University
Seoul
Korea

Simone Manganelli (Contact Author)

European Central Bank (ECB) ( email )

Kaiserstrasse 29
Frankfurt am Main, 60311
Germany

HOME PAGE: http://www.simonemanganelli.org

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