rob_sk: Computing standard and robustified skewness

In ccgarch: Conditional Correlation GARCH models

Description

This function computes standard and robustified skewness measures of a vector or matrix of variables.

Usage

    rob.sk(x)

Arguments

x	a vector or matrix of variables

Value

Vector of skewness and robustified skewness

References

Kim, T-H. and H. White (2004), “On More Robust Estimation of Skewness and Kurtosis”, Finance Research Letters, 1, 56–73.

See Also

rob.kr, ljung.box.test, jb.test

Examples

x <- matrix(rnorm(1000), 100, 10)
rob.sk(x)

Example output

           series 1   series 2   series 3    series 4   series 5    series 6
standard 0.56311358 -0.2639027 0.03825360  0.04879587 -0.3819683  0.17140245
robust   0.08392617 -0.1424713 0.06913817 -0.09817513 -0.1362171 -0.01552939
          series 7    series 8    series 9   series 10
standard 0.1487693 -0.26550100 -0.14987672 -0.08368642
robust   0.2181376  0.07430314  0.02182112  0.26586954

ccgarch documentation built on May 29, 2017, 12:58 p.m.