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A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution

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  • Schlüter, Stephan
  • Fischer, Matthias J.
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    Abstract

    Calculating a large number of tail probabilities or tail quantiles for a given distribution families becomes very challenging, if both the cumulative and the inverse distribution function are not available in closed form. In case of the Gaussian and Student t distribution, quantile approximations are already available. This is not the case for the (symmetric) generalized hyperbolic distribution (GHD) whose popularity steadily increases and which includes both Gaussian and Student t as limiting case. Within this paper we close this gap and derive one possible tail approximation formula for the GHD as well as for the Student t distribution. --

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    Bibliographic Info

    Paper provided by Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) in its series IWQW Discussion Paper Series with number 05/2009.

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    Date of creation: 2009
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    Handle: RePEc:zbw:iwqwdp:052009

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    Web page: http://www.iwqw.rw.uni-erlangen.de/
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    Keywords: Generalized hyperbolic distribution; Quantile approximation; Student t distribution;

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