Conditional higher order moments in metal asset returns. Issue 1 (2nd January 2016)

• Record Type: Journal Article
• Authors: Cochran, Steven J.; Mansur, Iqbal; Odusami, Babatunde
• Is Part Of: Quantitative finance. Volume 16:Issue 1(2016)
• Page Start: 151
• Page End: 167
• Publication Date: 2016-01-02
• Subjects: Metal returns volatility -- Kurtosis -- Skewness -- Value-at-risk; G12; Finance -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Investments -- Mathematics -- Periodicals; Economics -- Periodicals; Finances -- Modèles mathématiques -- Périodiques; 332.015118
• DOI: 10.1080/14697688.2015.1019357
• Languages: English
• ISSNs: 1469-7688

Abstract

Abstract : This study examines the role of higher order moments in the returns of four important metals, aluminium, copper, gold and silver, using the asymmetric GARCH (AGARCH) model with a conditional skewed generalized- t (SGT) distribution. Implications of higher order moments in metal returns are evaluated by comparing the performances of conditional value-at-risk measures obtained from the AGARCH models with SGT distributions to those obtained from the AGARCH models with normal and student- t distributions. With the exception of gold, the AGARCH model with the SGT distribution appears to have the best fit for all metals examined.