On the Log-Return Distribution of Index Benchmarked Share Prices

Eckhard Platen ()

No 22, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper identifies a distribution, which fits the daily log-returns of index benchmarked share prices. For this data the Student t distribution appears to provide the best fit under the maximum likelihood ratio test within the class of symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed log-return distribution is also described.

Keywords: log-return distribution; Student t distribution, generalised hyperbolic distribution; minimal market model (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Date: 1999-12-01
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Citations: View citations in EconPapers (1)

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