Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models
The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function....
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| Format: | Article |
| Language: | Spanish |
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Universidad Autónoma de Nuevo León
2011
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| Online Access: | https://ensayos.uanl.mx/index.php/ensayos/article/view/73 |
| _version_ | 1824325138310496256 |
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| author | Akl Ahmed, Doaa |
| author_facet | Akl Ahmed, Doaa |
| author_sort | Akl Ahmed, Doaa |
| collection | Artículos de Revistas UANL |
| description | The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant. JEL Classification: C13, E31, E37. |
| first_indexed | 2025-02-05T19:55:17Z |
| format | Article |
| id | ensayos-article-73 |
| institution | UANL |
| language | spa |
| last_indexed | 2025-02-05T19:55:17Z |
| physical | Ensayos Revista de Economía; Vol. 30 No. 2 (2011): NOVEMBER 2011; 1-28 Ensayos Revista de Economía; Vol. 30 Núm. 2 (2011): NOVIEMBRE 2011; 1-28 2448-8402 1870-221X |
| publishDate | 2011 |
| publisher | Universidad Autónoma de Nuevo León |
| record_format | ojs |
| spelling | ensayos-article-732023-12-11T05:27:13Z Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models Akl Ahmed, Doaa inflation targeting conditional volatility skewness and kurtosis modelling uncertainty of inflation. The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function. Additionally, it extended their work by allowing both conditional skewness and kurtosis to have an asymmetry term. The results revealed the significant persistence in conditional variance, skewness and kurtosis which indicate high asymmetry of inflation. Additionally, diagnostic tests reveal that models with nonconstant volatility, skewness and kurtosis are superior to models that keep them invariant. JEL Classification: C13, E31, E37. Universidad Autónoma de Nuevo León 2011-11-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artículo arbitrado por pares application/pdf https://ensayos.uanl.mx/index.php/ensayos/article/view/73 10.29105/ensayos30.2-1 Ensayos Revista de Economía; Vol. 30 No. 2 (2011): NOVEMBER 2011; 1-28 Ensayos Revista de Economía; Vol. 30 Núm. 2 (2011): NOVIEMBRE 2011; 1-28 2448-8402 1870-221X spa https://ensayos.uanl.mx/index.php/ensayos/article/view/73/59 Derechos de autor 2011 Doaa Akl Ahmed https://creativecommons.org/licenses/by/4.0 |
| spellingShingle | inflation targeting conditional volatility skewness and kurtosis modelling uncertainty of inflation. Akl Ahmed, Doaa Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models |
| thumbnail | https://rediab.uanl.mx/themes/sandal5/images/article.gif |
| title | Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models |
| title_full | Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models |
| title_fullStr | Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models |
| title_full_unstemmed | Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models |
| title_short | Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models |
| title_sort | modelling the density of inflation using autoregressive conditional heteroscedasticity skewness and kurtosis models |
| topic | inflation targeting conditional volatility skewness and kurtosis modelling uncertainty of inflation. |
| topic_facet | inflation targeting conditional volatility skewness and kurtosis modelling uncertainty of inflation. |
| url | https://ensayos.uanl.mx/index.php/ensayos/article/view/73 |
| work_keys_str_mv | AT aklahmeddoaa modellingthedensityofinflationusingautoregressiveconditionalheteroscedasticityskewnessandkurtosismodels |