On improved volatility modelling by fitting skewness in ARCH models.

We study ARCH/GARCH effects under possible deviation from normality. Since skewness is the principal cause for deviations from normality in many practical applications, e.g. finance, we study in particular skewness. We propose robust tests for normality both for NoVaS and modified NoVaS transformed and original data. Such an approach is not applicable for EGARCH, but applicable for GARCH-GJR models. A novel test procedure is proposed for the skewness in autoregressive conditional volatility models. The power of the tests is investigated with various underlying models. Applications with financial data show the applicability and the capabilities of the proposed testing procedure.

The association between hypertension and sleep apnea in obese patients.

Strong associations have been demonstrated between hypertension (HTN) and obesity, and obesity and sleep apnea (SA). However, it is unclear whether previously suggested relationships between HTN and SA were based on causal mechanisms, or rather, were confounded by obesity. To investigate whether SA may be an independent predictor of HTN, we measured respiration during sleep and BP in 19 participants in a hospital-based weight control program. Additionally, subjects underwent cephalometry, measurement of weight and hip circumferences, and pulmonary function tests. Studies were repeated in 14 subjects following weight loss. Subjects consisted of 9 men and 10 women, ages 43 +/- 11 years (mean +/- SD), and weight of 114 +/- 20 kg. Hypertension (diastolic BP > 95 mm Hg, systolic BP > 160 mm Hg, or a report of current use of an antihypertensive medication) was present in 6 (32 percent) subjects. Sleep apnea was more prevalent among the hypertensive (5/6; 83 percent) than normotensive (2/13; 15 percent) subjects (p < 0.01); respiratory disturbance index (RDI) was 42.4 +/- 16.0 vs 6.2 +/- 2.3 (p < 0.01) in these groups. Compared with normotensive subjects, hypertensive subjects were of similar weight, but had greater central obesity and had lower levels of vital capacity. Regression analyses demonstrated that RDI was the strongest independent predictor of BP level, accounting for approximately 60 percent of the variability in this measurement. Following weight loss, BP and RDI both significantly declined, soft palate width decreased, and vital capacity increased. Thus, in this group of obese subjects, BP level was associated most significantly with the magnitude of sleep-related respiratory disturbances. The obese subjects who are most likely to have SA and HTN are male and/or subjects with greater central obesity and lower vital capacity.