A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution

Stephan Schlüter and Matthias J. Fischer

No 05/2009, FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics

Abstract: Calculating a large number of tail probabilities or tail quantiles for a given distribution families becomes very challenging, if both the cumulative and the inverse distribution function are not available in closed form. In case of the Gaussian and Student t distribution, quantile approximations are already available. This is not the case for the (symmetric) generalized hyperbolic distribution (GHD) whose popularity steadily increases and which includes both Gaussian and Student t as limiting case. Within this paper we close this gap and derive one possible tail approximation formula for the GHD as well as for the Student t distribution.

Keywords: Generalized hyperbolic distribution; Quantile approximation; Student t distribution (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwqwdp:052009

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