Modelling skewness dynamics in series of financial data using skewed location-scale distributions
نویسندگان
چکیده
We show how the ARMA-Power GARCH model for the conditional mean and variance can be adapted to analyze times series data showing asymmetry. Dynamics is introduced in the location and the dispersion parameters of skewed location-scale distributions using the same type of structure found in the conditional mean and in the conditional variance in the ARMA-APARCH model. We also propose a general dynamic model for skewness as measured by the odds ratio of having the next observation greater than the conditional mode. This general tool is illustrated by the analysis of the DEM-USD exchange rate over the 1980-1996 period.
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