EconPapers    
Economics at your fingertips  
 

Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange

Olivia Andreea Baciu

The Review of Finance and Banking, 2015, vol. 07, issue 1, pages 007-018

Abstract: Onfive of the most liquid and important equities of the Romanian stock market together with the market index is investigated the fit of the generalized hyperbolic distributions. The parameters of the hyperbolic distribution, Variance- Gamma, Normal Inverse Gaussian, skewed t Student and generalized hyperbolic are estimated using the maximum likelihood estimation. The goodness-of-fit measures used to assess the fitofeachdistribution are the Kolmogorov- Smirnov distance, Akaike information criteria and the log- likelihood. Plots are also inspected. The Variance- Gamma distribution was ruled out by the Kolmogorov- Smirnov test. After inspecting the plots, a good approximation of the data was given by the Normal Inverse Gaussian distribution and the generalized hyperbolic, but based on the goodness-of-fit measures, the generalized hyperbolic distribution yield to be the best fit.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.rfb.ase.ro/articole/Articol_I_7.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:rfb:journl:v:07:y:2015:i:1:p:007-018

Access Statistics for this article

The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

More articles in The Review of Finance and Banking from Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania. Contact information at EDIRC.
Series data maintained by Tatu Lucian ().

 
Page updated 2017-02-27
Handle: RePEc:rfb:journl:v:07:y:2015:i:1:p:007-018