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Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange


  • Olivia Andreea Baciu


Onfive of the most liquid and important equities of the Romanian stock market together with the market index is investigated the fit of the generalized hyperbolic distributions. The parameters of the hyperbolic distribution, Variance- Gamma, Normal Inverse Gaussian, skewed t Student and generalized hyperbolic are estimated using the maximum likelihood estimation. The goodness-of-fit measures used to assess the fitofeachdistribution are the Kolmogorov- Smirnov distance, Akaike information criteria and the log- likelihood. Plots are also inspected. The Variance- Gamma distribution was ruled out by the Kolmogorov- Smirnov test. After inspecting the plots, a good approximation of the data was given by the Normal Inverse Gaussian distribution and the generalized hyperbolic, but based on the goodness-of-fit measures, the generalized hyperbolic distribution yield to be the best fit.

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  • Olivia Andreea Baciu, 2015. "Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(1), pages 007-018, June.
  • Handle: RePEc:rfb:journl:v:07:y:2015:i:1:p:007-018

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    1. Fajardo, José & Farias, Aquiles, 2004. "Generalized Hyperbolic Distributions and Brazilian Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
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    5. Andreas Behr & Ulrich Pötter, 2009. "Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models," Annals of Finance, Springer, vol. 5(1), pages 49-68, January.
    6. Oguzhan Cepni & Ahmet Goncu & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2013. "Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models," Working Papers 2013/16, Bogazici University, Department of Economics.
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    8. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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