Conditional higher order moments in metal asset returns |
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| Authors: | Steven J Cochran Babatunde Odusami |
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| Institution: | 1. Department of Finance, Villanova School of Business, Villanova University, Villanova, PA 19085, USA;2. School of Business Administration, Widener University, Chester, PA 19013, USA |
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| 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. |
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| Keywords: | Metal returns volatility Kurtosis Skewness Value-at-risk |
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