Modelowanie rozkładu tygodniowych stop zwrotu spółek wchodzących w skład indeksu WIG20 za pomocą rozkładu Laplace'a i Gaussa wpływ wartości koncentrac
Modelling the distribution of weekly rates of return of the WIG20 companies by means of the Laplace and Gaussian distributions the influence of sample

Summary/Abstract: In this paper the application of Laplace and Gaussian distributions in modelling the distribution of weekly rates of return of the WIG20 companies was examined. As one of the criteria used for assessing the usefulness of a distribution in modelling, the maximum observation period ensuring positive results of goodness of fit test was accepted. It has been observed that weekly data improved the quality of modelling compared with daily data, which was expressed in terms of the longer period of usefulness for both distributions. Furthermore, the attention was drawn to a curious regularity observed for the normal distribution expressed by an important relation between the change in the value of sample kurtosis and the result of the goodness of fit test.

• Details
• Contents