volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …

GARCH model under various non-normal error distributions in order to evaluate skewness and leptokurtosis. The empirical … estimated under normality, in terms of: (i) capturing skewness and leptokurtosis; (ii) the maximized log-likelihood values; and …

is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness … index for 1995. Whilst the results provide support for models which accommodate leptokurtosis, no one model dominates …