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Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange

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  • Olivia Andreea Baciu
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    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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    Article provided by Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante in its journal The Review of Finance and Banking.

    Volume (Year): 07 (2015)
    Issue (Month): 1 (June)
    Pages: 007-018

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    Handle: RePEc:rfb:journl:v:07:y:2015:i:1:p:007-018
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    1. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
    2. Kjersti Aas & Ingrid Hobaek Haff, 2006. "The Generalized Hyperbolic Skew Student's t-Distribution," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 275-309.
    3. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
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    6. repec:sbe:breart:v:24:y:2004:i:2:a:2712 is not listed on IDEAS
    7. 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..
    8. Karlis, Dimitris, 2002. "An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 43-52, March.
    9. 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.
    10. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
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