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Generalized Hyperbolic Distributions and Brazilian Data

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Author Info
José Fajardo
Aquiles Farias

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Abstract

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps52.pdf
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Publisher Info
Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 52.

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Date of creation: Sep 2002
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Handle: RePEc:bcb:wpaper:52

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Web page: http://www.bcb.gov.br/?english

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Pedro L. Valls Pereira & Hotta, L.K. & Souza, L.A.R., 1999. "Alternative Models to extract asset volatility: a comparative study," Finance Lab Working Papers flwp_14, Finance Lab, Ibmec São Paulo. [Downloadable!]
  2. Morten B. Jensen & Asger Lunde, 2001. "The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 10.
  3. Issler, João Victor, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using Arch Models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  4. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
  5. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. José Fajardo, 2005. "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-07, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
    Other versions:
  2. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
    Other versions:
  3. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Ibmec São Paulo. [Downloadable!]
  4. JosÉ Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Lévy markets," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 219-227, June. [Downloadable!] (restricted)
  5. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Ibmec São Paulo. [Downloadable!]
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