Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties are preserved. We briefly review both classes of distributions and apply them to financial return data. By means of the Nikkei225 data, it will be shown that this class of distributions - the socalled skew generalized secant hyperbolic distribution - provides an excellent fit in the context of unconditional and conditional return models.
|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.statistik.wiso.uni-erlangen.de/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- McDonald, James B., 1991. "Parametric models for partially adaptive estimation with skewed and leptokurtic residuals," Economics Letters, Elsevier, vol. 37(3), pages 273-278, November.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
- Fischer, Matthias J., 2002. "Solving the Esscher puzzle: the NEF-GHS option pricing model," Discussion Papers 42a/2002, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
When requesting a correction, please mention this item's handle: RePEc:zbw:faucse:462002. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.