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On the Log-Return Distribution of Index Benchmarked Share Prices

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Author Info
Eckhard Platen () (School of Finance and Economics, University of Technology, Sydney)

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Abstract

This paper identifies a distribution, which fits the daily log-returns of index benchmarked share prices. For this data the Student t distribution appears to provide the best fit under the maximum likelihood ratio test within the class of symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed log-return distribution is also described.

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Publisher Info
Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 22.

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Date of creation: 01 Dec 1999
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Handle: RePEc:uts:rpaper:22

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Related research
Keywords: log-return distribution; Student t distribution; generalised hyperbolic distribution; minimal market model;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

Cited by:
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  1. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
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Statistics
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