| Autor: |
Massing, Till, Ramos, Arturo |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Physica A: Statistical Mechanics and its Applications, 580, 126143 (2021) |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1016/j.physa.2021.126143 |
| Popis: |
We perform a comparative study for multiple equity indices of different countries using different models to determine the best fit using the Kolmogorov-Smirnov statistic, the Anderson-Darling statistic, the Akaike information criterion and the Bayesian information criteria as goodness-of-fit measures. We fit models both to daily and to hourly log-returns. The main result is the excellent performance of a mixture of three Student's $t$ distributions with the numbers of degrees of freedom fixed a priori (3St). In addition, we find that the different components of the 3St mixture with small/moderate/high degree of freedom parameter describe the extreme/moderate/small log-returns of the studied equity indices. |
| Databáze: |
arXiv |
| Externí odkaz: |
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