Modeling Commodity Markets: The Challenge of Leptokurtic Returns Distributions

A. K. Laha and Pravida Raja

No WP2012-07-03, IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

Abstract: In this paper we consider modeling leptokurtic daily log-return distributions of three commodities: gold, silver and crude oil. Three modeling approaches are tried out namely (a) a two component mixture of normal distributions model, (b) Variance Gamma (VG) distribution model and (c) Generalized Secant Hyperbolic (GSH) distribution model. The two component mixture of normal distributions model is found to be a reasonable model for log-returns on gold and crude oil. The VG distribution model and the GSH distribution model are found not to be suitable for modeling log-returns for any of the three commodities considered in this paper.

Date: 2012-07-23
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:iim:iimawp:11448

Access Statistics for this paper

More papers in IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department Contact information at EDIRC.
Bibliographic data for series maintained by ().