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Generalized Hyperbolic Distributions and Brazilian Data

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  • José Fajardo
  • Aquiles Farias

Abstract

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.

Suggested Citation

  • José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:52
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    References listed on IDEAS

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    1. Issler, João Victor, 1999. "Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 347, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
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