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On the Log-Return Distribution of Index Benchmarked Share Prices

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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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Bibliographic 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;

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Cited by:
  1. David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.

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