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The art of fitting financial time series with Levy stable distributions

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Scalas, Enrico
Kim, Kyungsik

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Abstract

This paper illustrates a procedure for fitting financial data with alpha-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate, in order to quantitatively assess its quality. It turns out that, for the two investigated data sets (MIB30 and DJIA from 2000 to present), an alpha-stable fit of log-returns is reasonably good.

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File URL: http://mpra.ub.uni-muenchen.de/336/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 336.

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Date of creation: 23 Aug 2006
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Handle: RePEc:pra:mprapa:336

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Related research
Keywords: finance statistical methods stable distributions

Find related papers by JEL classification:
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
G00 - Financial Economics - - General - - - General

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    Other versions:
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