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Market volatility and skewness persistence

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  • Jati Sengupta
  • Raymond Sfeir

Abstract

Skewness persistence and its impact on market volatility are examined here empirically over recent NYSE stock market data. The empirical results do not show any skewness persistence, although the skewness factor affects market volatility to a significant degree. This suggests the need to modify the volatility tests based on ARCH models.

Suggested Citation

  • Jati Sengupta & Raymond Sfeir, 1994. "Market volatility and skewness persistence," Applied Economics Letters, Taylor & Francis Journals, vol. 1(12), pages 215-218.
    • Handle: RePEc:taf:apeclt:v:1:y:1994:i:12:p:215-218
    DOI: 10.1080/135048594357763
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Callen, T S & Hall, S G & Henry, S G B, 1990. "Manufacturing Stocks: Expectations, Risk and Co-integration," Economic Journal, Royal Economic Society, vol. 100(402), pages 756-772, September.
    3. Kennan, John, 1979. "The Estimation of Partial Adjustment Models with Rational Expectations," Econometrica, Econometric Society, vol. 47(6), pages 1441-1455, November.
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