On the Log-Return Distribution of Index Benchmarked Share Prices
This paper identifies a distribution, which fits the daily log-returns of index benchmarked share prices. For this data the Student t distribution appears to provide the best fit under the maximum likelihood ratio test within the class of symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed log-return distribution is also described.
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|Date of creation:||01 Dec 1999|
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