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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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    File URL: https://www.bcb.gov.br/pec/wps/ingl/wps52.pdf
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    References listed on IDEAS

    as
    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, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    2. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    3. repec:sbe:breart:v:19:y:1999:i:1:a:2793 is not listed on IDEAS
    4. 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..
    5. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    6. repec:sbe:breart:v:21:y:2001:i:2:a:2752 is not listed on IDEAS
    7. Pereira, Pedro L. Valls & Hotta, Luiz K. & Souza, Luiz Alvares R. de & Almeida, Nuno Miguel C. G. de, 1999. "Alternative Models To Extract Asset Volatility: A Comparative Study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
    8. Morten B. Jensen & Asger Lunde, 2001. "The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-10.
    9. repec:sbe:breart:v:19:y:1999:i:1:a:2794 is not listed on IDEAS
    10. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68.
    11. repec:sbe:breart:v:19:y:1999:i:1:a:2792 is not listed on IDEAS
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