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### 基于回归的时变偏度和时变峰度识别检验

• 出版日期:2018-11-25 发布日期:2018-11-23

### Regression-based Testsfor Identifying Time-varying Skewness and Kurtosis

Jia Jing et al

• Online:2018-11-25 Published:2018-11-23

Abstract: The first prerequisite for establishing the time-varying higher order moment model is that the skewness and kurtosis of asset returns have the time-varying characteristics, namely, there exist characters of hetero-skewness or hetero-kurtosis in the assets returns rates similar to heteroscedasticity. In the present literature, there is a poor application and low efficiency in identifying and testing the time-varying skewness and time-varying kurtosis. This paper proposes a regression-based test to identifytime-varying skewness and kurtosis for assets returns rate. On one hand, it uses the probability integral transformation to reduce the constraints on the existence of the higher order moments of the assets returns series by the Lagrange Multiplier Test.On the other hand, it takes the impact of the parameter estimation uncertainty on the statistical properties of this test into consideration, making it with better asymptotic statistical properties and widely applicable. The Monte Carlo simulation further indicates that the regression-based test has a good finite sample property with a suitable empirical size and a high empirical power. Finally, this regression-based testis applied to the time-varying properties of the returns series forShanghai and ShenzhenComposite Indexes.