Models for stock returns
AbstractHistorically, the normal variance model has been used to describe stock return distributions. This model is based on taking the conditional stock return distribution to be normal with its variance itself being a�random variable. The�form of the actual stock return distribution will depend on the distribution for the variance. In practice, the distributions chosen for the variance appear to be very limited. In this note, we derive a�comprehensive collection of formulas for the actual stock return distribution, covering some sixteen flexible families. The�corresponding estimation procedures are derived by the method of moments and the method of maximum likelihood. We feel that this work could serve as a�useful reference and lead to improved modelling with respect to stock market returns.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 12 (2012)
Issue (Month): 3 (February)
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Web page: http://www.tandfonline.com/RQUF20
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