A0997
Title: Flexible skewness modeling in stochastic volatility: Generalized Fernandez-Steel distribution approach
Authors: Tomoya Yano - The University of Tokyo, Graduate School of Economics (Japan) [presenting]
Yasuhiro Omori - University of Tokyo (Japan)
Abstract: The focus is on a stochastic volatility model with error terms following a generalized Fernandez-Steel distribution. Financial return data often exhibit characteristics such as heavy tails and skewness, which can be partially captured by the standard Fernandez-Steel distribution. However, by extending the distribution to allow connections at arbitrary quantile points, not just at the origin, the model gains greater flexibility. This enhancement is expected to improve the accuracy of forecasts for risk measures such as value-at-risk (VaR) and expected shortfall (ES).
