Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns

Arbeitspapier

A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties are preserved. We briefly review both classes of distributions and apply them to financial return data. By means of the Nikkei225 data, it will be shown that this class of distributions - the socalled skew generalized secant hyperbolic distribution - provides an excellent fit in the context of unconditional and conditional return models.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Diskussionspapier ; No. 46/2002

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: SGSH distribution ; NEF-GHS distribution ; skewness ; GARCH ; APARCH

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fischer, Matthias J.
• Ereignis: Veröffentlichung
• (wer): Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
• (wo): Nürnberg
• (wann): 2002

Weitere Informationen

• Handle: http://hdl.handle.net/10419/29601
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ