A0479
Title: Skewness and kurtosis of aggregated financial returns
Authors: Angeles Carnero - Universidad de Alicante (Spain) [presenting]
Angel Leon - University of Alicante (Spain)
Trino Niguez - University of Westminster (United Kingdom)
Abstract: Analytical expressions are provided for the mean, variance, skewness and kurtosis of non-overlapping aggregated returns generated by a TGARCH(1,1) model assuming different skewed distributions for the innovations, including those represented by polynomially adjusted densities. Closed-form expressions for the skewness of aggregated returns present an alternative approach to approximating unconditional skewness. This contrasts with alternative methods employed in the literature, which rely on a second-order Taylor series expansion within the context of GARCH-type models. Aggregated moments facilitate the derivation of predictions for multiple-period value-at-risk and expected shortfall, and they can also be used in option pricing models.
