Several recent articles report evidence of predictability in the skewness of equity returns, raising hopes that predictability in third moments will be useful for forecasting the probability of tail events. The evidence is unfortunately difficult to interpret, partly because they were obtained...

Most of the tests for asymmetry are developed under the null hypothesis of normal distribution. As is well known, many financial data exhibits fat tail, and commonly used tests (such as the standard square root test based on sample skewness) are not valid for leptokurtic financial data. Also,...

This paper develops a flexible parametric approach to capture asymmetry and excess kurtosis along with conditional heteroskedasticity with a general family of distributions for analyzing stock returns data. Engle's (1982) autoregressive conditional heteroskedastic (ARCH) model and its various...