英文摘要 |
This paper investigates the asymmetric effects of stock returns by constructing the dynamic models of the conditional mean, volatility, skewness and kurtosis parameters simultaneously. Using the samples from international stock markets, the empirical results suggest that the higher moments of the asset return should be added into the conditional model to capture the empirical features for the stock returns. In general, the impulses are different for the past innovation to the alternative conditional moments; it is more obvious that the asymmetric effects on the conditional volatilities are the strongest. In addition, the conditional skewness and kurtosis series apparently appear time-varying behaviors; they are also influenced by the past innovations in some stock markets. Finally, we evaluate the estimates efficacy of the alternatives conditional higher moment models and measure relative superiority of the competitive models applying on the volatility forecast for stock returns. The results suggest that it is not true for the complete conditional model on the estimates efficacy. However, on the issue of performance evaluations of volatility forecasts, the conditional higher moment model to be introduced in this paper outperforms others that are not included in higher moment settings. |