Forecasting the Conditional Skewness and Kurtosis of the Polish Financial Returns

• Autorzy: Ryszard Doman
• Języki publikacji: EN

Abstrakty

EN

Chapter 8 presents evaluation of conditional density forecasts of financial returns, i.e. exchange rate EUR/PLN, stock index MIDWIG, and 6-month WIBOR. The forecasts are derived from GARCH models in which innovations are allowed to have time-varying or even failing to exist skewness and kurtosis. The main finding is that conditional skewness and kurtosis of returns change over time but their dynamics are different. (fragment of text)

Słowa kluczowe

EN

Kurtosis; Forecasting the return rate of shares; GARCH model; Financial markets

PL

Kurtoza; Prognozowanie stóp zysku akcji; Model GARCH; Rynki finansowe

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 137--151

Twórcy

autor

Ryszard Doman

Bibliografia

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