The daily returns of the Portuguese stock index : a distributional characterization
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.3/5077 |
Resumo: | This paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions to the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013. We find that the distribution of the actual returns of the PSI-20 exhibits much higher kurtosis and extreme values as compared to the normal distribution. Overall, the best fit is provided by the Student t and the generalized hyperbolic distributions. This pattern also applies to the tail behavior, as the density of the Student t distribution exhibits fatter tails then the density of the other distributions, followed by the density of the generalized hyperbolic distribution. Finally, we find that the normal inverse Gaussian and the normal distributions have the lowest fitting quality to the actual daily returns of the Portuguese stock index. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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The daily returns of the Portuguese stock index : a distributional characterizationGeneralized Hyperbolic DistributionNormal DistributionPortuguese Stock Index ReturnsStudent t DistributionThis paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions to the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013. We find that the distribution of the actual returns of the PSI-20 exhibits much higher kurtosis and extreme values as compared to the normal distribution. Overall, the best fit is provided by the Student t and the generalized hyperbolic distributions. This pattern also applies to the tail behavior, as the density of the Student t distribution exhibits fatter tails then the density of the other distributions, followed by the density of the generalized hyperbolic distribution. Finally, we find that the normal inverse Gaussian and the normal distributions have the lowest fitting quality to the actual daily returns of the Portuguese stock index.Universidade dos AçoresRepositório da Universidade dos AçoresRege, SameerTeixeira, JoãoMenezes, António Gomes de2019-04-30T18:23:56Z2013-102013-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/5077engRege, Sameer R.; Teixeira, João C. A.; Menezes, António G. (2013). The daily returns of the Portuguese stock index: a distributional characterization, “Working Paper Series”, nº 1/13, 26 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.10.2139/ssrn.2346491info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-12-20T14:33:21Zoai:repositorio.uac.pt:10400.3/5077Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:27:21.843406Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The daily returns of the Portuguese stock index : a distributional characterization |
title |
The daily returns of the Portuguese stock index : a distributional characterization |
spellingShingle |
The daily returns of the Portuguese stock index : a distributional characterization Rege, Sameer Generalized Hyperbolic Distribution Normal Distribution Portuguese Stock Index Returns Student t Distribution |
title_short |
The daily returns of the Portuguese stock index : a distributional characterization |
title_full |
The daily returns of the Portuguese stock index : a distributional characterization |
title_fullStr |
The daily returns of the Portuguese stock index : a distributional characterization |
title_full_unstemmed |
The daily returns of the Portuguese stock index : a distributional characterization |
title_sort |
The daily returns of the Portuguese stock index : a distributional characterization |
author |
Rege, Sameer |
author_facet |
Rege, Sameer Teixeira, João Menezes, António Gomes de |
author_role |
author |
author2 |
Teixeira, João Menezes, António Gomes de |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade dos Açores |
dc.contributor.author.fl_str_mv |
Rege, Sameer Teixeira, João Menezes, António Gomes de |
dc.subject.por.fl_str_mv |
Generalized Hyperbolic Distribution Normal Distribution Portuguese Stock Index Returns Student t Distribution |
topic |
Generalized Hyperbolic Distribution Normal Distribution Portuguese Stock Index Returns Student t Distribution |
description |
This paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions to the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013. We find that the distribution of the actual returns of the PSI-20 exhibits much higher kurtosis and extreme values as compared to the normal distribution. Overall, the best fit is provided by the Student t and the generalized hyperbolic distributions. This pattern also applies to the tail behavior, as the density of the Student t distribution exhibits fatter tails then the density of the other distributions, followed by the density of the generalized hyperbolic distribution. Finally, we find that the normal inverse Gaussian and the normal distributions have the lowest fitting quality to the actual daily returns of the Portuguese stock index. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-10 2013-10-01T00:00:00Z 2019-04-30T18:23:56Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.3/5077 |
url |
http://hdl.handle.net/10400.3/5077 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Rege, Sameer R.; Teixeira, João C. A.; Menezes, António G. (2013). The daily returns of the Portuguese stock index: a distributional characterization, “Working Paper Series”, nº 1/13, 26 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A. 10.2139/ssrn.2346491 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade dos Açores |
publisher.none.fl_str_mv |
Universidade dos Açores |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799130728334622720 |