Moments of Standardized Fernandez-Steel Skewed Distributions: Applications to the Estimation of GARCH-Type Models

13 Pages Posted: 6 Sep 2015 Last revised: 15 Nov 2017

See all articles by Denis-Alexandre Trottier

Denis-Alexandre Trottier

Laval University, Faculté d'Administration, Département de Finance et Assurance, Students

David Ardia

HEC Montreal - Department of Decision Sciences

Date Written: September 4, 2015

Abstract

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.

Keywords: Asymmetric GARCH, Backtesting, Bayesian, Maximum Likelihood, Skewness

JEL Classification: C13, C15, C51

Suggested Citation

Trottier, Denis-Alexandre and Ardia, David, Moments of Standardized Fernandez-Steel Skewed Distributions: Applications to the Estimation of GARCH-Type Models (September 4, 2015). Finance Research Letters, Vol. 18, pp. 311-316, 2016, Available at SSRN: https://ssrn.com/abstract=2656377 or http://dx.doi.org/10.2139/ssrn.2656377

Denis-Alexandre Trottier

Laval University, Faculté d'Administration, Département de Finance et Assurance, Students ( email )

Pavillon Palasis-Prince
Quebec, Quebec G1K 7P4
Canada

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

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