Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
We study the daily return distributions for 22 industry stock indexes on the Tai-wan Stock Exchange under the unconditional homoskedastic independent, identically distributed and the conditional heteroskedastic GARCH models. Two distribution hypotheses are tested: the Gaussian and the stable Paretian distributions. The performance of the stable Paretian distribution is better than that of the Gaussian distribution. A back-testing example is provided to give evidence on the superiority of the stable ARMA-GARCH to the normal ARMA-GARCH.
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Volume (Year): 8 (2007)
Issue (Month): 1 (May)
Pages: 21-31
| Handle: | RePEc:cuf:journl:y:2007:v:8:i:1:p:21-31 |
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References listed on IDEAS
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- Chiang, Thomas C. & Doong, Shuh-Chyi, 1999. "Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data," Global Finance Journal, Elsevier, vol. 10(2), pages 187-200. Full references (including those not matched with items on IDEAS)
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