Compound distributions for financial returns.

Autor: Afuecheta E; Department of Mathematics and Statistics, King Fahd University of Petroleum & Minerals, Dhahran, Saudi Arabia., Semeyutin A; School of Economics, Finance and Accounting, Coventry University, Coventry, United Kingdom., Chan S; Department of Mathematics and Statistics, American University of Sharjah, Sharjah, UAE., Nadarajah S; Department of Mathematics, University of Manchester, Manchester, United Kingdom., Andrés Pérez Ruiz D; Department of Mathematics, University of Manchester, Manchester, United Kingdom.
Jazyk: angličtina
Zdroj: PloS one [PLoS One] 2020 Oct 02; Vol. 15 (10), pp. e0239652. Date of Electronic Publication: 2020 Oct 02 (Print Publication: 2020).
DOI: 10.1371/journal.pone.0239652
Abstrakt: In this paper, we propose six Student's t based compound distributions where the scale parameter is randomized using functional forms of the half normal, Fréchet, Lomax, Burr III, inverse gamma and generalized gamma distributions. For each of the proposed distribution, we give expressions for the probability density function, cumulative distribution function, moments and characteristic function. GARCH models with innovations taken to follow the compound distributions are fitted to the data using the method of maximum likelihood. For the sample data considered, we see that all but two of the proposed distributions perform better than two popular distributions. Finally, we perform a simulation study to examine the accuracy of the best performing model.
Competing Interests: We have no conflicts of interest to disclose.
Databáze: MEDLINE
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