Premium
Flexible Models for Stock Returns Based on Student's T Distribution
Author(s) -
Afuecheta Emmanuel,
Chan Stephen,
Nadarajah Saralees
Publication year - 2019
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12234
Subject(s) - econometrics , stock (firearms) , distribution (mathematics) , student's t distribution , cumulative distribution function , economics , mathematics , scale parameter , probability distribution , probability density function , statistics , mathematical analysis , autoregressive conditional heteroskedasticity , geography , volatility (finance) , archaeology
Models based on the Student's t distribution are proposed with its scale parameter randomized. Mathematical properties of the models such as their probability density functions, cumulative distribution functions, moments and characteristic functions are derived. Three of the models are fitted to daily log returns of six financial indices. They were shown to provide better fits than mixtures of Student's t distributions and the popular generalized hyperbolic distribution.