Title: Conditional skewness and kurtosis of aggregated normal mixture and Markov-switching GARCH returns
Authors: Markus Haas - University of Kiel (Germany) [presenting]
Abstract: The first four conditional moments of aggregated returns generated by normal mixture and Markov-switching GARCH processes are derived. The results illustrate the considerable flexibility and great variety of the conditional density profiles that can emerge from this class of conditional volatility models. Moreover, the usefulness of the results for approximating multi-step-ahead conditional densities and Value-at-Risk measures is demonstrated.