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Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution

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Author Info
Necula, Ciprian () (Academy of Economic Studies, Bucharest)

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Abstract

In the present study, we estimate the parameters of the Generalized Hyperbolic Distribution for a series of stock index returns including the Romanian BETC and indexes from other two Eastern European countries, Hungary and the Czech Republic. Using different econometric techniques, we investigate whether the estimated Generalized Hyperbolic Distribution is an appropriate approximation for the empirical distribution computed by non-parametric kernel econometric methods. The main finding of the analysis is that the probability density function of the estimated Generalized Hyperbolic Distribution represents a very close approximation (at least up to the 4th order term) of the empirical probability distribution function.

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File URL: http://www.ipe.ro/rjef/rjef2_09/rjef2_09_8.pdf
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Publisher Info
Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): 6 (2009)
Issue (Month): 2 (June)
Pages: 118-131
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Handle: RePEc:rjr:romjef:v:6:y:2009:i:2:p:118-131

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Related research
Keywords: Generalized Hyperbolic Distribution; heavy-tailed returns; non-parametric density estimation;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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This page was last updated on 2009-12-13.

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