Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20
Autor(a) principal: | |
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Data de Publicação: | 2012 |
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/10400.3/5047 |
Resumo: | The presence of non-normality, fat-tails, skewness and kurtosis in the distribution of the returns necessitates the fitting of distributions that account for this phenomenon. We fit the Generalized Hyperbolic Distribution and the Normal Inverse Gaussian to the daily returns from the Portuguese Stock Index, the PSI20. We use the EM algorithm for estimating the parameters of the Normal Inverse Gaussian while those of the Generalized Hyperbolic distribution are estimated using the Nelder-Mead algorithm. We find that the Generalized Hyperbolic is a better fit than the Normal Inverse Gaussian as it better estimates the probabilities at the left tail where the losses are concentrated. |
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Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20Generalized HyperbolicNormal Inverse GaussianPortuguese Stock IndexThe presence of non-normality, fat-tails, skewness and kurtosis in the distribution of the returns necessitates the fitting of distributions that account for this phenomenon. We fit the Generalized Hyperbolic Distribution and the Normal Inverse Gaussian to the daily returns from the Portuguese Stock Index, the PSI20. We use the EM algorithm for estimating the parameters of the Normal Inverse Gaussian while those of the Generalized Hyperbolic distribution are estimated using the Nelder-Mead algorithm. We find that the Generalized Hyperbolic is a better fit than the Normal Inverse Gaussian as it better estimates the probabilities at the left tail where the losses are concentrated.Universidade dos AçoresRepositório da Universidade dos AçoresRege, SameerMenezes, António Gomes de2019-03-22T10:12:37Z2012-022012-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/5047engRege, Sameer; Menezes, António Gomes (2012). Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20, “Working Paper Series”, nº 5/12, 15 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.info: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:RCAAP2022-12-20T14:33:19Zoai:repositorio.uac.pt:10400.3/5047Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:27:20.337577Repositório 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 |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
title |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
spellingShingle |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 Rege, Sameer Generalized Hyperbolic Normal Inverse Gaussian Portuguese Stock Index |
title_short |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
title_full |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
title_fullStr |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
title_full_unstemmed |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
title_sort |
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20 |
author |
Rege, Sameer |
author_facet |
Rege, Sameer Menezes, António Gomes de |
author_role |
author |
author2 |
Menezes, António Gomes de |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade dos Açores |
dc.contributor.author.fl_str_mv |
Rege, Sameer Menezes, António Gomes de |
dc.subject.por.fl_str_mv |
Generalized Hyperbolic Normal Inverse Gaussian Portuguese Stock Index |
topic |
Generalized Hyperbolic Normal Inverse Gaussian Portuguese Stock Index |
description |
The presence of non-normality, fat-tails, skewness and kurtosis in the distribution of the returns necessitates the fitting of distributions that account for this phenomenon. We fit the Generalized Hyperbolic Distribution and the Normal Inverse Gaussian to the daily returns from the Portuguese Stock Index, the PSI20. We use the EM algorithm for estimating the parameters of the Normal Inverse Gaussian while those of the Generalized Hyperbolic distribution are estimated using the Nelder-Mead algorithm. We find that the Generalized Hyperbolic is a better fit than the Normal Inverse Gaussian as it better estimates the probabilities at the left tail where the losses are concentrated. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-02 2012-02-01T00:00:00Z 2019-03-22T10:12:37Z |
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/10400.3/5047 |
url |
http://hdl.handle.net/10400.3/5047 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Rege, Sameer; Menezes, António Gomes (2012). Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20, “Working Paper Series”, nº 5/12, 15 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A. |
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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1799130728297922560 |