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.
References listed on IDEAS
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