Conditional higher order moments in metal asset returns

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...

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Bibliographic Details
Published inQuantitative finance Vol. 16; no. 1; pp. 151 - 167
Main Authors Cochran, Steven J., Mansur, Iqbal, Odusami, Babatunde
Format Journal Article
LanguageEnglish
Published Bristol Routledge 02.01.2016
Taylor & Francis Ltd
Subjects
Commodity markets
Kurtosis
Metal returns volatility
Metals
Probability distribution
Rates of return
Skewness
Stochastic models
Studies
Value-at-risk
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Summary: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.
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2015.1019357