On the Distributional Characterization of Log-returns of a World Stock Index

Kevin Fergusson and Eckhard Platen ()
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Kevin Fergusson: School of Finance and Economics, University of Technology, Sydney, http://www.business.uts.edu.au/finance/

No 153, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: In this paper we identify distributions which suitably fit log-returns of the world stock index (WSI) when these are expressed in units of different currencies. By searching for a best fit in the class of symmetric generalized hyperbolic distributions the maximum likelihood estimates appear to cluster in the neighborhood of those of the Student t distribution. This is confirmed on a high significance level under the likelihood ratio test.

Keywords: world stock index; benchmarked log-return; Student t distribution; symmetric generalized hyperbolic distribution (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-03-01
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